cmaes.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_CMAES_CMAES_HPP
#define MLPACK_CORE_OPTIMIZERS_CMAES_CMAES_HPP

#include <mlpack/prereqs.hpp>

#include "full_selection.hpp"
#include "random_selection.hpp"

namespace mlpack {
namespace optimization {

template<typename SelectionPolicyType = FullSelection>
class CMAES
{
 public:
  CMAES(const size_t lambda = 0,
        const double lowerBound = -10,
        const double upperBound = 10,
        const size_t batchSize = 32,
        const size_t maxIterations = 1000,
        const double tolerance = 1e-5,
        const SelectionPolicyType& selectionPolicy = SelectionPolicyType());

  template<typename DecomposableFunctionType>
  double Optimize(DecomposableFunctionType& function, arma::mat& iterate);

  size_t PopulationSize() const { return lambda; }
  size_t& PopulationSize() { return lambda; }

  double LowerBound() const { return lowerBound; }
  double& LowerBound() { return lowerBound; }

  double UpperBound() const { return upperBound; }
  double& UpperBound() { return upperBound; }

  size_t BatchSize() const { return batchSize; }
  size_t& BatchSize() { return batchSize; }

  size_t MaxIterations() const { return maxIterations; }
  size_t& MaxIterations() { return maxIterations; }

  double Tolerance() const { return tolerance; }
  double& Tolerance() { return tolerance; }

  const SelectionPolicyType& SelectionPolicy() const { return selectionPolicy; }
  SelectionPolicyType& SelectionPolicy() { return selectionPolicy; }

 private:
  size_t lambda;

  double lowerBound;

  double upperBound;

  size_t batchSize;

  size_t maxIterations;

  double tolerance;

  SelectionPolicyType selectionPolicy;
};

template<typename SelectionPolicyType = RandomSelection>
using ApproxCMAES = CMAES<SelectionPolicyType>;

} // namespace optimization
} // namespace mlpack

// Include implementation.
#include "cmaes_impl.hpp"

#endif