[R] Noisy objective functions
Enrico Schumann
e@ @end|ng |rom enr|co@chum@nn@net
Mon Aug 14 08:08:29 CEST 2023
On Sun, 13 Aug 2023, Hans W writes:
> While working on 'random walk' applications, I got interested in
> optimizing noisy objective functions. As an (artificial) example, the
> following is the Rosenbrock function, where Gaussian noise of standard
> deviation `sd = 0.01` is added to the function value.
>
> fn <- function(x)
> (1+rnorm(1, sd=0.01)) * adagio::fnRosenbrock(x)
>
> To smooth out the noise, define another function `fnk(x, k = 1)` that
> calls `fn` k times and returns the mean value of those k function
> applications.
>
> fnk <- function(x, k = 1) { # fnk(x) same as fn(x)
> rv = 0.0
> for (i in 1:k) rv <- rv + fn(x)
> return(rv/n)
> }
>
> When we apply several optimization solvers to this noisy and smoothed
> noise functions we get for instance the following results:
> (Starting point is always `rep(0.1, 5)`, maximal number of iterations 5000,
> relative tolerance 1e-12, and the optimization is successful if the
> function value at the minimum is below 1e-06.)
>
> k nmk anms neldermead ucminf optim_BFGS
> ---------------------------------------------------
> 1 0.21 0.32 0.13 0.00 0.00
> 3 0.52 0.63 0.50 0.00 0.00
> 10 0.81 0.91 0.87 0.00 0.00
>
> Solvers: nmk = dfoptim::nmk, anms = pracma::anms [both Nelder-Mead codes]
> neldermead = nloptr::neldermead,
> ucminf = ucminf::ucminf, optim_BFGS = optim with method "BFGS"
>
> Read the table as follows: `nmk` will be successful in 21% of the
> trials, while for example `optim` will never come close to the true
> minimum.
>
> I think it is reasonable to assume that gradient-based methods do
> poorly with noisy objectives, though I did not expect to see them fail
> so clearly. On the other hand, Nelder-Mead implementations do quite
> well if there is not too much noise.
>
> In real-world applications, it will often not be possible to do the
> same measurement several times. That is, we will then have to live
> with `k = 1`. In my applications with long 'random walks', doing the
> calculations several times in a row will really need some time.
>
> QUESTION: What could be other approaches to minimize noisy functions?
>
> I looked through some "Stochastic Programming" tutorials and did not
> find them very helpful in this situation. Of course, I might have
> looked into these works too superficially.
>
Since Nelder--Mead worked /relatively/ well: in my
experience, its results can sometimes be improved by
restarting it, i.e. re-initializing the simplex. See this
note here: http://enricoschumann.net/R/restartnm.htm ,
which incidentally also uses the Rosenbrock function.
Just for the record, I think Differential Evolution (DE)
can handle such problems well, though it would usually
need more iterations. As computational "proof" ;-) , I
run DE 50 times for the k == 1 case, and each time store
whether the resulting objective-function value is below
1e-6. I let DE take way more function evaluations
(population of 100 times 500 generations = 50000 function
evaluations); but it gets a value below 1e-6 in all 50
cases.
library("NMOF")
ofv.below.threshold <- logical(50)
for (i in seq_along(ofv.below.threshold)) {
sol <- DEopt(fnk,
algo = list(
nP = 100, nG = 500,
min = rep( 5, 5), max = rep( 10, 5)))
ofv.below.threshold[i] <- sol$OFvalue < 1e-6
}
sum(ofv.below.threshold)/length(ofv.below.threshold)
(These 50 runs take less than half a minute on my
machine.) Note that I have on purpose initialized the
population in the range 5 to 10, i.e. way off the optimum.
--
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net
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