Adaptive Hierarchical Recombination Evolutionary Strategy

ahres() runs the AHR-ES optimiser directly through a dedicated interface. It is primarily intended for bounded, derivative-free optimisation of expensive or black-box objective functions, including calibration problems in which the objective may be noisy or obtained from an external model.

Usage

ahres(
  par,
  fn,
  gr = NULL,
  ...,
  lower = -Inf,
  upper = +Inf,
  active = NULL,
  control = list(),
  hessian = FALSE,
  parallel = FALSE
)

Arguments

par: A numeric vector or list. The length of par defines the number of parameters to be estimated (i.e., the dimension of the problem).
fn: The objective function to be minimised. It should accept a parameter vector (or list, depending on the wrapper) as first argument and return either a scalar value (single-objective) or a numeric vector (multi-objective).
gr: Function computing the gradient of fn. Ignored by ahres().
...: Additional arguments passed to fn and gr.
lower: Lower bounds for parameters. One value or a vector of the same length as par. NA is treated as -Inf. Default is unconstrained.
upper: Upper bounds for parameters. One value or a vector of the same length as par. NA is treated as Inf. Default is unconstrained.
active: Boolean vector of the same length as par, indicating if the parameter is used in the optimisation (TRUE) or held at a fixed value (FALSE).
control: A list of control options. Common options include ncores, run, master, verbose, REPORT, restart.file, gradient, and gr.method. Additional solver-specific options may be passed through to the underlying optimiser.
hessian: Logical. Should a numerically differentiated Hessian matrix be returned? Currently not implemented.
parallel: Logical. Enable parallel computation (e.g., for replicated evaluations and/or numerical gradients) using up to control$ncores cores.

Value

An object of class "ahres.results", typically with components:

par: Best parameter values found, returned on the original scale.
value: Objective value at par, returned on the original objective scale.
counts: Number of function and gradient evaluations.
convergence: Convergence code (0 usually indicates a regular stop, 1 that the maximum number of generations/evaluations was reached).
message: A short message describing the stopping condition.
generations: Number of generations performed.
partial: Optional vector of objective components when the objective function returns more than one value.
trace: Optional tracing information when tracing is enabled.
active: Information about active parameters used during optimisation.

Details

ahres() accepts the same broad interface as the other optimisation entry points in calibrar, but is specialised to the "AHR-ES" algorithm. Parameters may be supplied as a vector or list. Internally, list-structured parameters are flattened for optimisation and then restored before the result is returned.

The function supports box constraints through lower and upper, and parameter masking through active, so only selected parameters are evolved while the others are held fixed at their supplied starting values.

If control$parscale and/or control$fnscale are supplied, optimisation is performed on the corresponding scaled parameter space and objective scale, and results are transformed back before being returned.

gr is accepted only for interface compatibility and is ignored by this method. In the current implementation, control$maxit or control$maxgen must be supplied; otherwise the optimisation stops with an error.

For scalar objectives, the default settings are usually sufficient. For vector-valued objectives, advanced users may also need to provide suitable control entries such as weights, nvar, and aggFn, depending on how the objective has been constructed.

Parallel execution

AHR-ES parallelism is controlled through entries inside control, notably control$parallel and control$ncores. The top-level parallel argument is currently retained for interface consistency but is not used directly inside ahres().

Author

Ricardo Oliveros-Ramos

Examples

if (FALSE) { # \dontrun{
ahres(
  par = rep(0.5, 5),
  fn = sphereN,
  lower = -5,
  upper = 5,
  control = list(maxit = 200)
)
} # }