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SimulatedAnnealingStrategy.cpp

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// SimulatedAnnealingStrategy.cpp: implementation of the CSimulatedAnnealingStrategy class.
//

#include "SimulatedAnnealingStrategy.h"

// Construction/Destruction

CSimulatedAnnealingStrategy::CSimulatedAnnealingStrategy(int RNGSeed, CParameterFilter *pFilter)
{
        m_iRNGSeed = RNGSeed;
        m_pFilter = pFilter;

        m_pRNG = new Rand(m_iRNGSeed);
        m_pMO = new CMatrixOperations();

        m_dEBar = 0.0;
        m_dE2Bar = 0.0;
        m_dAcceptanceRatio = 0.0;
        m_iTrialCount = 0;
}

CSimulatedAnnealingStrategy::~CSimulatedAnnealingStrategy()
{
        delete m_pRNG;
        delete m_pMO;
}

double CSimulatedAnnealingStrategy::Minimize(double *parameters, Minimizable *minimizable)
{
        nParameters = minimizable->GetNParameters();
        m_pdCurrentParameters = new double[nParameters];
        m_pdTrialParameters = new double[nParameters];

        // copy the current parameters into starting parameters
        m_pMO->ElementCopy(parameters,m_pdCurrentParameters,nParameters);

        m_dEBest = minimizable->ObjectiveFunction(parameters);
        double Eold = m_dEBest;

        cout << "Initial cost of " << m_dEBest << endl;

        this->InitializeTemperature(minimizable);

        // avoids termination before any moves
        m_dEBar = -m_dEBest; 

        while( !(this->Terminate()) )
        {
                m_dEBar = 0.0;
                m_dE2Bar = 0.0;
                m_iTrialCount = 0;
                m_dAcceptanceRatio = 0.0;

                while( !(this->Equilibrated()) )
                {
                        this->GenerateMove();
                        double Enew = minimizable->ObjectiveFunction(m_pdTrialParameters);

                        if(this->AcceptMove(Eold,Enew))
                        {                       
                                
                                Eold = Enew;
                                m_dAcceptanceRatio += 1.0;
                                m_pMO->ElementCopy(m_pdTrialParameters,m_pdCurrentParameters,nParameters);

                                if(Enew < m_dEBest)
                                {
                                        cout << "Best cost is now " << Enew << endl;
                                        m_dEBest = Enew;
                                        m_pMO->ElementCopy(m_pdTrialParameters,parameters,nParameters);
                                }

                        } // end AcceptMove if

                        m_dEBar += Eold;
                        m_dE2Bar += Eold*Eold;
                        m_iTrialCount++;
                
                } // end equlibration stage

                // normalize statistical properties
                m_dEBar = m_dEBar/m_iTrialCount;
                m_dE2Bar = m_dE2Bar/m_iTrialCount;
                m_dAcceptanceRatio = m_dAcceptanceRatio/m_iTrialCount;
                
                // notify observers
                this->Notify();
                // update temperature
                this->Cool();
        
        } // end anneal

        delete [] m_pdCurrentParameters;
        delete [] m_pdTrialParameters;
        
        return m_dEBest;
}

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