Adding a new stochastic optimization problem

Assuming you have made the adding_a_new_optimization_problem tutorial, this second tutorial should be rather straight forward. We will learn how to code a stochastic optimization problem, that is a problem where the objective function is stochastic. In other words, the objective function depends on pseudo-random numbers.

In a nutshell .... we will write a class deriving from problem.base_stochastic and reimplement some of its ‘virtual’ methods. With respect to problem.base, this base class has an added data member called self.seed which can be used to control the pseudo random numbers and that is changed by the algorithms that are compatible with stochastic optimization problems.

from PyGMO.problem import base_stochastic
class my_problem_stochastic(base_stochastic):
     """
     Noisy De Jong (sphere) function implemented purely in Python.

     USAGE: my_problem_stochastic(dim = 10, seed=0)

     * dim problem dimension
     * seed initial random seed
     """
     def __init__(self, dim = 10, seed = 0):
             #First we call the constructor of the base stochastic class. (Only
             #unconstrained single objective problems can be stochastic in PyGMO)
             super(my_problem_stochastic,self).__init__(dim, seed)

             #then we set the problem bounds (in this case equal for all components)
             self.set_bounds(-5.12,5.12)

             #and we define some additional 'private' data members (not really necessary in
             #this case, but ... hey this is a tutorial)
             self.__dim = dim

     def _objfun_impl(self,x):
             from random import random as drng
             from random import seed

             #We initialize the random number generator using the
             #data member seed (in base_stochastic). This will be changed by suitable
             #algorithms when a stochastic problem is used. The mod operation avoids overflows

             seed(self.seed)

             #We write the objfun using the same pseudorandonm sequence
             #as long as self.seed is unchanged.
             f = 0;
             for i in range(self.__dim):
                     noise = (2 * drng() - 1) / 10
                     f = f + (x[i] + noise)*(x[i] + noise)
             return (f,)
     def human_readable_extra(self):
             return "\n\tSeed: " + str(self.seed)

We may then put this in a file, say my_module.py and use Particle Swarm Optimization .... the generational version ... to solve it

from PyGMO import *
from  my_module import my_problem_stochastic

prob = my_problem_stochastic(dim=10, seed=123456)
algo = algorithm.pso_gen(gen=1)
isl = island(algo,prob,20)
for i in range(30):
     isl.evolve(1)
     isl.population.champion.f

(7.636346361215645,)
(2.9207347362223715,)
(1.0075035416057239,)
(0.3461345536433724,)
(0.148618031035022,)
(0.08653472558404088,)
(0.048504492499211634,)
(0.017069267823961475,)
(0.032427061740872294,)
(0.018818646172131907,)
(0.025077134049593254,)

You can also check that the problem seed has actually changed (the algo does this) by printing the seed to screen

print prob.seed