GA (version 3.2)

de: Differential Evolution via Genetic Algorithms

Description

Maximization of a fitness function using Differential Evolution (DE). DE is a population-based evolutionary algorithm for optimisation of fitness functions defined over a continuous parameter space.

Usage

de(fitness,
   lower, upper,
   popSize = 10*d,
   stepsize = 0.8,
   pcrossover = 0.5,
   …)

Arguments

fitness

the fitness function, any allowable R function which takes as input a vector of values representing a potential solution, and returns a numerical value describing its ``fitness''.

lower

a vector of length equal to the decision variables providing the lower bounds of the search space.

upper

a vector of length equal to the decision variables providing the upper bounds of the search space.

popSize

the population size. By default is set at 10 times the number of decision variables.

pcrossover

the probability of crossover, by default set to 0.5.

stepsize

the stepsize or weighting factor. A value in the interval [0,2], by default set to 0.8. If set at NA a random value is selected in the interval [0.5, 1.0] (so called dithering).

…

additional arguments to be passed to the fitness function. This allows to write fitness functions that keep some variables fixed during the search.

Value

Returns an object of class de-class. See de-class for a description of available slots information.

Details

Differential Evolution (DE) is a stochastic evolutionary algorithm that optimises multidimensional real-valued fitness functions without requiring the optimisation problem to be differentiable.

This implimentation follows the description in Simon (2013; Sec. 12.4, and Fig. 12.12) and uses the functionalities available in the ga function for Genetic Algorithms.

The DE selection operator is defined by gareal_de with parameters p = pcrossover and F = stepsize.

References

Scrucca L. (2013). GA: A Package for Genetic Algorithms in R. Journal of Statistical Software, 53(4), 1-37, http://www.jstatsoft.org/v53/i04/.

Simon D. (2013) Evolutionary Optimization Algorithms. John Wiley & Sons.

Price K., Storn R.M., Lampinen J.A. (2005) Differential Evolution: A Practical Approach to Global Optimization. Springer.

See Also

summary,de-method, plot,de-method, de-class

Examples

# NOT RUN {
# 1) one-dimensional function
f <- function(x)  abs(x)+cos(x)
curve(f, -20, 20)

DE <- de(fitness = function(x) -f(x), lower = -20, upper = 20)
plot(DE)
summary(DE)

curve(f, -20, 20, n = 1000)
abline(v = DE@solution, lty = 3)

# 2) "Wild" function, global minimum at about -15.81515

wild <- function(x) 10*sin(0.3*x)*sin(1.3*x^2) + 0.00001*x^4 + 0.2*x + 80
plot(wild, -50, 50, n = 1000)

# from help("optim")
SANN <- optim(50, fn = wild, method = "SANN",
              control = list(maxit = 20000, temp = 20, parscale = 20))
unlist(SANN[1:2])

DE <- de(fitness = function(...) -wild(...), lower = -50, upper = 50)
plot(DE)
summary(DE)

# 3) two-dimensional Rastrigin function

Rastrigin <- function(x1, x2)
{
  20 + x1^2 + x2^2 - 10*(cos(2*pi*x1) + cos(2*pi*x2))
}

x1 <- x2 <- seq(-5.12, 5.12, by = 0.1)
f <- outer(x1, x2, Rastrigin)
persp3D(x1, x2, f, theta = 50, phi = 20, col.palette = bl2gr.colors)

DE <- de(fitness = function(x) -Rastrigin(x[1], x[2]),
         lower = c(-5.12, -5.12), upper = c(5.12, 5.12),
         popSize = 50)
plot(DE)
summary(DE)

filled.contour(x1, x2, f, color.palette = bl2gr.colors,
               plot.axes = { axis(1); axis(2); 
                             points(DE@solution, 
                                    col = "yellow", pch = 3, lwd = 2) })

# 4) two-dimensional Ackley function

Ackley <- function(x1, x2)
{
  -20*exp(-0.2*sqrt(0.5*(x1^2 + x2^2))) - 
  exp(0.5*(cos(2*pi*x1) + cos(2*pi*x2))) + exp(1) + 20
}

x1 <- x2 <- seq(-3, 3, by = 0.1)
f <- outer(x1, x2, Ackley)
persp3D(x1, x2, f, theta = 50, phi = 20, col.palette = bl2gr.colors)

DE <- de(fitness = function(x) -Ackley(x[1], x[2]),
         lower = c(-3, -3), upper = c(3, 3),
         stepsize = NA)
plot(DE)
summary(DE)

filled.contour(x1, x2, f, color.palette = bl2gr.colors,
               plot.axes = { axis(1); axis(2); 
                             points(DE@solution, 
                                    col = "yellow", pch = 3, lwd = 2) })
# }