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1   /*
2    * Licensed to the Apache Software Foundation (ASF) under one or more
3    * contributor license agreements.  See the NOTICE file distributed with
4    * this work for additional information regarding copyright ownership.
5    * The ASF licenses this file to You under the Apache License, Version 2.0
6    * (the "License"); you may not use this file except in compliance with
7    * the License.  You may obtain a copy of the License at
8    *
9    *      https://www.apache.org/licenses/LICENSE-2.0
10   *
11   * Unless required by applicable law or agreed to in writing, software
12   * distributed under the License is distributed on an "AS IS" BASIS,
13   * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
14   * See the License for the specific language governing permissions and
15   * limitations under the License.
16   */
17  
18  /*
19   * This is not the original file distributed by the Apache Software Foundation
20   * It has been modified by the Hipparchus project
21   */
22  package org.hipparchus.optim.nonlinear.scalar;
23  
24  import org.hipparchus.analysis.MultivariateFunction;
25  import org.hipparchus.analysis.UnivariateFunction;
26  import org.hipparchus.analysis.function.Logit;
27  import org.hipparchus.analysis.function.Sigmoid;
28  import org.hipparchus.exception.LocalizedCoreFormats;
29  import org.hipparchus.exception.MathIllegalArgumentException;
30  import org.hipparchus.util.FastMath;
31  import org.hipparchus.util.MathUtils;
32  
33  /**
34   * <p>Adapter for mapping bounded {@link MultivariateFunction} to unbounded ones.</p>
35   *
36   * <p>
37   * This adapter can be used to wrap functions subject to simple bounds on
38   * parameters so they can be used by optimizers that do <em>not</em> directly
39   * support simple bounds.
40   * </p>
41   * <p>
42   * The principle is that the user function that will be wrapped will see its
43   * parameters bounded as required, i.e when its {@code value} method is called
44   * with argument array {@code point}, the elements array will fulfill requirement
45   * {@code lower[i] <= point[i] <= upper[i]} for all i. Some of the components
46   * may be unbounded or bounded only on one side if the corresponding bound is
47   * set to an infinite value. The optimizer will not manage the user function by
48   * itself, but it will handle this adapter and it is this adapter that will take
49   * care the bounds are fulfilled. The adapter {@link #value(double[])} method will
50   * be called by the optimizer with unbound parameters, and the adapter will map
51   * the unbounded value to the bounded range using appropriate functions like
52   * {@link Sigmoid} for double bounded elements for example.
53   * </p>
54   * <p>
55   * As the optimizer sees only unbounded parameters, it should be noted that the
56   * start point or simplex expected by the optimizer should be unbounded, so the
57   * user is responsible for converting his bounded point to unbounded by calling
58   * {@link #boundedToUnbounded(double[])} before providing them to the optimizer.
59   * For the same reason, the point returned by the {@link
60   * org.hipparchus.optim.BaseMultivariateOptimizer#optimize(org.hipparchus.optim.OptimizationData[])}
61   * method is unbounded. So to convert this point to bounded, users must call
62   * {@link #unboundedToBounded(double[])} by themselves!</p>
63   * <p>
64   * This adapter is only a poor man solution to simple bounds optimization constraints
65   * that can be used with simple optimizers like
66   * {@link org.hipparchus.optim.nonlinear.scalar.noderiv.SimplexOptimizer
67   * SimplexOptimizer}.
68   * A better solution is to use an optimizer that directly supports simple bounds like
69   * {@link org.hipparchus.optim.nonlinear.scalar.noderiv.CMAESOptimizer
70   * CMAESOptimizer} or
71   * {@link org.hipparchus.optim.nonlinear.scalar.noderiv.BOBYQAOptimizer
72   * BOBYQAOptimizer}.
73   * One caveat of this poor-man's solution is that behavior near the bounds may be
74   * numerically unstable as bounds are mapped from infinite values.
75   * Another caveat is that convergence values are evaluated by the optimizer with
76   * respect to unbounded variables, so there will be scales differences when
77   * converted to bounded variables.
78   * </p>
79   *
80   * @see MultivariateFunctionPenaltyAdapter
81   *
82   */
83  public class MultivariateFunctionMappingAdapter
84      implements MultivariateFunction {
85      /** Underlying bounded function. */
86      private final MultivariateFunction bounded;
87      /** Mapping functions. */
88      private final Mapper[] mappers;
89  
90      /** Simple constructor.
91       * @param bounded bounded function
92       * @param lower lower bounds for each element of the input parameters array
93       * (some elements may be set to {@code Double.NEGATIVE_INFINITY} for
94       * unbounded values)
95       * @param upper upper bounds for each element of the input parameters array
96       * (some elements may be set to {@code Double.POSITIVE_INFINITY} for
97       * unbounded values)
98       * @exception MathIllegalArgumentException if lower and upper bounds are not
99       * consistent, either according to dimension or to values
100      */
101     public MultivariateFunctionMappingAdapter(final MultivariateFunction bounded,
102                                               final double[] lower, final double[] upper) {
103         // safety checks
104         MathUtils.checkNotNull(lower);
105         MathUtils.checkNotNull(upper);
106         if (lower.length != upper.length) {
107             throw new MathIllegalArgumentException(LocalizedCoreFormats.DIMENSIONS_MISMATCH,
108                                                    lower.length, upper.length);
109         }
110         for (int i = 0; i < lower.length; ++i) {
111             if (!(upper[i] >= lower[i])) { // NOPMD - the test is written this way so it also fails for NaN
112                 throw new MathIllegalArgumentException(LocalizedCoreFormats.NUMBER_TOO_SMALL,
113                                                        upper[i], lower[i]);
114             }
115         }
116 
117         this.bounded = bounded;
118         this.mappers = new Mapper[lower.length];
119         for (int i = 0; i < mappers.length; ++i) {
120             if (Double.isInfinite(lower[i])) {
121                 if (Double.isInfinite(upper[i])) {
122                     // element is unbounded, no transformation is needed
123                     mappers[i] = new NoBoundsMapper();
124                 } else {
125                     // element is simple-bounded on the upper side
126                     mappers[i] = new UpperBoundMapper(upper[i]);
127                 }
128             } else {
129                 if (Double.isInfinite(upper[i])) {
130                     // element is simple-bounded on the lower side
131                     mappers[i] = new LowerBoundMapper(lower[i]);
132                 } else {
133                     // element is double-bounded
134                     mappers[i] = new LowerUpperBoundMapper(lower[i], upper[i]);
135                 }
136             }
137         }
138     }
139 
140     /**
141      * Maps an array from unbounded to bounded.
142      *
143      * @param point Unbounded values.
144      * @return the bounded values.
145      */
146     public double[] unboundedToBounded(double[] point) {
147         // Map unbounded input point to bounded point.
148         final double[] mapped = new double[mappers.length];
149         for (int i = 0; i < mappers.length; ++i) {
150             mapped[i] = mappers[i].unboundedToBounded(point[i]);
151         }
152 
153         return mapped;
154     }
155 
156     /**
157      * Maps an array from bounded to unbounded.
158      *
159      * @param point Bounded values.
160      * @return the unbounded values.
161      */
162     public double[] boundedToUnbounded(double[] point) {
163         // Map bounded input point to unbounded point.
164         final double[] mapped = new double[mappers.length];
165         for (int i = 0; i < mappers.length; ++i) {
166             mapped[i] = mappers[i].boundedToUnbounded(point[i]);
167         }
168 
169         return mapped;
170     }
171 
172     /**
173      * Compute the underlying function value from an unbounded point.
174      * <p>
175      * This method simply bounds the unbounded point using the mappings
176      * set up at construction and calls the underlying function using
177      * the bounded point.
178      * </p>
179      * @param point unbounded value
180      * @return underlying function value
181      * @see #unboundedToBounded(double[])
182      */
183     @Override
184     public double value(double[] point) {
185         return bounded.value(unboundedToBounded(point));
186     }
187 
188     /** Mapping interface. */
189     private interface Mapper {
190         /**
191          * Maps a value from unbounded to bounded.
192          *
193          * @param y Unbounded value.
194          * @return the bounded value.
195          */
196         double unboundedToBounded(double y);
197 
198         /**
199          * Maps a value from bounded to unbounded.
200          *
201          * @param x Bounded value.
202          * @return the unbounded value.
203          */
204         double boundedToUnbounded(double x);
205     }
206 
207     /** Local class for no bounds mapping. */
208     private static class NoBoundsMapper implements Mapper {
209         /** {@inheritDoc} */
210         @Override
211         public double unboundedToBounded(final double y) {
212             return y;
213         }
214 
215         /** {@inheritDoc} */
216         @Override
217         public double boundedToUnbounded(final double x) {
218             return x;
219         }
220     }
221 
222     /** Local class for lower bounds mapping. */
223     private static class LowerBoundMapper implements Mapper {
224         /** Low bound. */
225         private final double lower;
226 
227         /**
228          * Simple constructor.
229          *
230          * @param lower lower bound
231          */
232         LowerBoundMapper(final double lower) {
233             this.lower = lower;
234         }
235 
236         /** {@inheritDoc} */
237         @Override
238         public double unboundedToBounded(final double y) {
239             return lower + FastMath.exp(y);
240         }
241 
242         /** {@inheritDoc} */
243         @Override
244         public double boundedToUnbounded(final double x) {
245             return FastMath.log(x - lower);
246         }
247 
248     }
249 
250     /** Local class for upper bounds mapping. */
251     private static class UpperBoundMapper implements Mapper {
252 
253         /** Upper bound. */
254         private final double upper;
255 
256         /** Simple constructor.
257          * @param upper upper bound
258          */
259         UpperBoundMapper(final double upper) {
260             this.upper = upper;
261         }
262 
263         /** {@inheritDoc} */
264         @Override
265         public double unboundedToBounded(final double y) {
266             return upper - FastMath.exp(-y);
267         }
268 
269         /** {@inheritDoc} */
270         @Override
271         public double boundedToUnbounded(final double x) {
272             return -FastMath.log(upper - x);
273         }
274 
275     }
276 
277     /** Local class for lower and bounds mapping. */
278     private static class LowerUpperBoundMapper implements Mapper {
279         /** Function from unbounded to bounded. */
280         private final UnivariateFunction boundingFunction;
281         /** Function from bounded to unbounded. */
282         private final UnivariateFunction unboundingFunction;
283 
284         /**
285          * Simple constructor.
286          *
287          * @param lower lower bound
288          * @param upper upper bound
289          */
290         LowerUpperBoundMapper(final double lower, final double upper) {
291             boundingFunction   = new Sigmoid(lower, upper);
292             unboundingFunction = new Logit(lower, upper);
293         }
294 
295         /** {@inheritDoc} */
296         @Override
297         public double unboundedToBounded(final double y) {
298             return boundingFunction.value(y);
299         }
300 
301         /** {@inheritDoc} */
302         @Override
303         public double boundedToUnbounded(final double x) {
304             return unboundingFunction.value(x);
305         }
306     }
307 }