SequentialMonteCarloRobustAlgorithm¶
- class otrobopt.SequentialMonteCarloRobustAlgorithm(*args)¶
Sequential Monte Carlo robust optimization algorithm.
Solves a robust optimization problem by alternating discretizing measures and solving deterministic problems.
Measures are discretized using an initial size that can be set with
setInitialSamplingSize()
and a size increment that is set withsetSamplingSizeIncrement()
.The optimization problems relies on a Multi-Start algorithm from an initial LHS experiment and an internal solver that can be set by
setOptimizationAlgorithm()
. The ResourceMap key SequentialMonteCarloRobustAlgorithm-ConvergenceFactor can be used to control the convergence criteria of the inner solver.The algorithm stops when the number of iterations has been reached or the absolute error is small enough.
- Parameters:
- problem
RobustOptimizationProblem
Robust optimization problem
- solver
openturns.OptimizationAlgorithm
Optimization solver
- problem
Methods
Accessor to the object's name.
getId
()Accessor to the object's id.
Initial sampling size accessor.
Multi-start number accessor.
Multi-start optimization starting points accessor.
Accessor to maximum allowed absolute error.
Accessor to maximum allowed constraint error.
Accessor to maximum allowed number of evaluations.
Accessor to maximum allowed number of iterations.
Accessor to maximum allowed relative error.
Accessor to maximum allowed residual error.
getName
()Accessor to the object's name.
Optimization solver accessor.
Accessor to optimization problem.
Accessor to optimization result.
Optimization intermediate results accessor.
Robust optimization problem accessor.
Sampling size increment accessor.
Accessor to the object's shadowed id.
Accessor to starting point.
Accessor to the object's visibility state.
hasName
()Test if the object is named.
Test if the object has a distinguishable name.
run
()Launch the optimization.
Initial sampling size accessor.
setInitialSearch
(initialSearch)Multi-start number accessor.
setMaximumAbsoluteError
(maximumAbsoluteError)Accessor to maximum allowed absolute error.
setMaximumConstraintError
(maximumConstraintError)Accessor to maximum allowed constraint error.
Accessor to maximum allowed number of evaluations.
setMaximumIterationNumber
(maximumIterationNumber)Accessor to maximum allowed number of iterations.
setMaximumRelativeError
(maximumRelativeError)Accessor to maximum allowed relative error.
setMaximumResidualError
(maximumResidualError)Accessor to maximum allowed residual error.
setName
(name)Accessor to the object's name.
setOptimizationAlgorithm
(solver)Optimization solver accessor.
setProblem
(problem)Accessor to optimization problem.
setProgressCallback
(*args)Set up a progress callback.
setResult
(result)Accessor to optimization result.
setRobustProblem
(problem)Robust optimization problem accessor.
setSamplingSizeIncrement
(samplingSizeIncrement)Sampling size increment accessor.
setShadowedId
(id)Accessor to the object's shadowed id.
setStartingPoint
(startingPoint)Accessor to starting point.
setStopCallback
(*args)Set up a stop callback.
setVisibility
(visible)Accessor to the object's visibility state.
getVerbose
setVerbose
- __init__(*args)¶
- getClassName()¶
Accessor to the object’s name.
- Returns:
- class_namestr
The object class name (object.__class__.__name__).
- getId()¶
Accessor to the object’s id.
- Returns:
- idint
Internal unique identifier.
- getInitialSamplingSize()¶
Initial sampling size accessor.
Initial size of the discretization of .
- Returns:
- initialSamplingSizeint
Initial sampling size
- getInitialSearch()¶
Multi-start number accessor.
Initial number of start points used.
Problem bounds must be specified when multi-start is used as start points are drawn uniformly into the bounding box.
- Returns:
- initialSearchint, 0 by default (no multi-start)
Multi-start number
- getInitialStartingPoints()¶
Multi-start optimization starting points accessor.
Optimization starting points during the initial search phase.
- Returns:
- startPoints
openturns.Sample
List of optimization starting points
- startPoints
- getMaximumAbsoluteError()¶
Accessor to maximum allowed absolute error.
- Returns:
- maximumAbsoluteErrorfloat
Maximum allowed absolute error, where the absolute error is defined by where and are two consecutive approximations of the optimum.
- getMaximumConstraintError()¶
Accessor to maximum allowed constraint error.
- Returns:
- maximumConstraintErrorfloat
Maximum allowed constraint error, where the constraint error is defined by where is the current approximation of the optimum and is the function that gathers all the equality and inequality constraints (violated values only)
- getMaximumEvaluationNumber()¶
Accessor to maximum allowed number of evaluations.
- Returns:
- Nint
Maximum allowed number of evaluations.
- getMaximumIterationNumber()¶
Accessor to maximum allowed number of iterations.
- Returns:
- Nint
Maximum allowed number of iterations.
- getMaximumRelativeError()¶
Accessor to maximum allowed relative error.
- Returns:
- maximumRelativeErrorfloat
Maximum allowed relative error, where the relative error is defined by if , else .
- getMaximumResidualError()¶
Accessor to maximum allowed residual error.
- Returns:
- maximumResidualErrorfloat
Maximum allowed residual error, where the residual error is defined by if , else .
- getName()¶
Accessor to the object’s name.
- Returns:
- namestr
The name of the object.
- getOptimizationAlgorithm()¶
Optimization solver accessor.
- Returns:
- solver
openturns.OptimizationAlgorithm
Optimization solver
- solver
- getProblem()¶
Accessor to optimization problem.
- Returns:
- problem
OptimizationProblem
Optimization problem.
- problem
- getResult()¶
Accessor to optimization result.
- Returns:
- result
OptimizationResult
Result class.
- result
- getResultCollection()¶
Optimization intermediate results accessor.
Optimization results at each step.
- Returns:
- resultCollsequence of
openturns.OptimizationResult
List of optimization results
- resultCollsequence of
- getRobustProblem()¶
Robust optimization problem accessor.
- Returns:
- problem
RobustOptimizationProblem
Robust optimization problem
- problem
- getSamplingSizeIncrement()¶
Sampling size increment accessor.
Sampling size increment of as a function of the total size at the previous iteration.
- Returns:
- samplingSizeIncrement
openturns.Function
Sampling size increment
- samplingSizeIncrement
- getShadowedId()¶
Accessor to the object’s shadowed id.
- Returns:
- idint
Internal unique identifier.
- getVisibility()¶
Accessor to the object’s visibility state.
- Returns:
- visiblebool
Visibility flag.
- hasName()¶
Test if the object is named.
- Returns:
- hasNamebool
True if the name is not empty.
- hasVisibleName()¶
Test if the object has a distinguishable name.
- Returns:
- hasVisibleNamebool
True if the name is not empty and not the default one.
- run()¶
Launch the optimization.
- setInitialSamplingSize(N0)¶
Initial sampling size accessor.
Initial size of the discretization of .
- Parameters:
- initialSamplingSizeint
Initial sampling size
- setInitialSearch(initialSearch)¶
Multi-start number accessor.
Initial number of start points used.
Problem bounds must be specified when multi-start is used as start points are drawn uniformly into the bounding box using an LHS experiment.
- Parameters:
- initialSearchint, 0 by default (no multi-start)
Multi-start number
- setMaximumAbsoluteError(maximumAbsoluteError)¶
Accessor to maximum allowed absolute error.
- Parameters:
- maximumAbsoluteErrorfloat
Maximum allowed absolute error, where the absolute error is defined by where and are two consecutive approximations of the optimum.
- setMaximumConstraintError(maximumConstraintError)¶
Accessor to maximum allowed constraint error.
- Parameters:
- maximumConstraintErrorfloat
Maximum allowed constraint error, where the constraint error is defined by where is the current approximation of the optimum and is the function that gathers all the equality and inequality constraints (violated values only)
- setMaximumEvaluationNumber(maximumEvaluationNumber)¶
Accessor to maximum allowed number of evaluations.
- Parameters:
- Nint
Maximum allowed number of evaluations.
- setMaximumIterationNumber(maximumIterationNumber)¶
Accessor to maximum allowed number of iterations.
- Parameters:
- Nint
Maximum allowed number of iterations.
- setMaximumRelativeError(maximumRelativeError)¶
Accessor to maximum allowed relative error.
- Parameters:
- maximumRelativeErrorfloat
Maximum allowed relative error, where the relative error is defined by if , else .
- setMaximumResidualError(maximumResidualError)¶
Accessor to maximum allowed residual error.
- Parameters:
- maximumResidualErrorfloat
Maximum allowed residual error, where the residual error is defined by if , else .
- setName(name)¶
Accessor to the object’s name.
- Parameters:
- namestr
The name of the object.
- setOptimizationAlgorithm(solver)¶
Optimization solver accessor.
- Parameters:
- solver
openturns.OptimizationAlgorithm
Optimization solver
- solver
- setProblem(problem)¶
Accessor to optimization problem.
- Parameters:
- problem
OptimizationProblem
Optimization problem.
- problem
- setProgressCallback(*args)¶
Set up a progress callback.
Can be used to programmatically report the progress of an optimization.
- Parameters:
- callbackcallable
Takes a float as argument as percentage of progress.
Examples
>>> import sys >>> import openturns as ot >>> rosenbrock = ot.SymbolicFunction(['x1', 'x2'], ['(1-x1)^2+100*(x2-x1^2)^2']) >>> problem = ot.OptimizationProblem(rosenbrock) >>> solver = ot.OptimizationAlgorithm(problem) >>> solver.setStartingPoint([0, 0]) >>> solver.setMaximumResidualError(1.e-3) >>> solver.setMaximumEvaluationNumber(10000) >>> def report_progress(progress): ... sys.stderr.write('-- progress=' + str(progress) + '%\n') >>> solver.setProgressCallback(report_progress) >>> solver.run()
- setResult(result)¶
Accessor to optimization result.
- Parameters:
- result
OptimizationResult
Result class.
- result
- setRobustProblem(problem)¶
Robust optimization problem accessor.
- Parameters:
- problem
RobustOptimizationProblem
Robust optimization problem
- problem
- setSamplingSizeIncrement(samplingSizeIncrement)¶
Sampling size increment accessor.
Sampling size increment of as a function of the total size at the previous iteration.
- Parameters:
- samplingSizeIncrement
openturns.Function
Sampling size increment
- samplingSizeIncrement
- setShadowedId(id)¶
Accessor to the object’s shadowed id.
- Parameters:
- idint
Internal unique identifier.
- setStartingPoint(startingPoint)¶
Accessor to starting point.
- Parameters:
- startingPoint
Point
Starting point.
- startingPoint
- setStopCallback(*args)¶
Set up a stop callback.
Can be used to programmatically stop an optimization.
- Parameters:
- callbackcallable
Returns an int deciding whether to stop or continue.
Examples
>>> import openturns as ot >>> rosenbrock = ot.SymbolicFunction(['x1', 'x2'], ['(1-x1)^2+100*(x2-x1^2)^2']) >>> problem = ot.OptimizationProblem(rosenbrock) >>> solver = ot.OptimizationAlgorithm(problem) >>> solver.setStartingPoint([0, 0]) >>> solver.setMaximumResidualError(1.e-3) >>> solver.setMaximumEvaluationNumber(10000) >>> def ask_stop(): ... return True >>> solver.setStopCallback(ask_stop) >>> solver.run()
- setVisibility(visible)¶
Accessor to the object’s visibility state.
- Parameters:
- visiblebool
Visibility flag.