I am currently using RGP as a genetic programming library. If anyone has an idea for another library (better documentation, more active development, etc.) I would like to hear your suggestions.
The question is rather simple: given a function with n parameters in R, how can i find the global minimum using genetic programming. I tried modifying one of the example programs but it seems this example uses linear regression which I don't think is appropriate in my situation.
Does anyone have any example code i could use?
I can recommend to use HeuristicLab. There are some algorithms implemented: Genetic Algorithm, Evolution Strategy, Simulated Annealing, Particle Swarm Optimization, and more which might be interesting if you're looking into the minimization of real-valued functions. The software is implemented in C# and runs on Windows. It offers a GUI where you can optimize several provided test functions (Rosenbrock, Schaffer, Ackley, etc.). There's also a very good implementation of genetic programming (GP) available, but from my impression you don't need GP. In genetic programming you evolve a function given the output data of an unknown function. I think in your case the function is known and you need to find those parameters that minimize the function's output.
The latest major version of the software was released to the public in 2010 and has since been further developed in several minor releases. We now have a release about two times a year. There's a google group where you can ask for help which is getting more and more active and there are some video tutorials that show the functionality. Check out the tour video on youtube which gives an overview of the features in less than 3 minutes. The research group around Prof. Affenzeller - a researcher in the field of Metaheuristics - has developed this software and is situated in Austria. I'm part of this group also.
Check out the howtos how you can implement your function in the GUI or, if you know C#, how you can implement your problem as a plugin.
You can use a genetic algorithm instead of GP to find the minimum of a function with n variables.
Basically what you do is:
assign initial values
generate initial population of n chromosomes
While (true)
evaluate fitness f(x, y) for each chromosome
if we reach a satisfactory solution of f(x, y) → Exit the loop
create the selection scheme (tournament selection)
select chromosomes (selection):
elitism
crossover
create mutations
alter duplicated chromosomes
replace the original population of chromosomes
end While
Related
If I have a function f(x) = y that I don't know the form of, and if I have a long list of x and y value pairs (potentially thousands of them), is there a program/package/library that will generate potential forms of f(x)?
Obviously there's a lot of ambiguity to the possible forms of any f(x), so something that produces many non-trivial unique answers (in reduced terms) would be ideal, but something that could produce at least one answer would also be good.
If x and y are derived from observational data (i.e. experimental results), are there programs that can create approximate forms of f(x)? On the other hand, if you know beforehand that there is a completely deterministic relationship between x and y (as in the input and output of a pseudo random number generator) are there programs than can create exact forms of f(x)?
Soooo, I found the answer to my own question. Cornell has released a piece of software for doing exactly this kind of blind fitting called Eureqa. It has to be one of the most polished pieces of software that I've ever seen come out of an academic lab. It's seriously pretty nifty. Check it out:
It's even got turnkey integration with Amazon's ec2 clusters, so you can offload some of the heavy computational lifting from your local computer onto the cloud at the push of a button for a very reasonable fee.
I think that I'm going to have to learn more about GUI programming so that I can steal its interface.
(This is more of a numerical methods question.) If there is some kind of observable pattern (you can kinda see the function), then yes, there are several ways you can approximate the original function, but they'll be just that, approximations.
What you want to do is called interpolation. Two very simple (and not very good) methods are Newton's method and Laplace's method of interpolation. They both work on the same principle but they are implemented differently (Laplace's is iterative, Newton's is recursive, for one).
If there's not much going on between any two of your data points (ie, the actual function doesn't have any "bumps" whose "peaks" are not represented by one of your data points), then the spline method of interpolation is one of the best choices you can make. It's a bit harder to implement, but it produces nice results.
Edit: Sometimes, depending on your specific problem, these methods above might be overkill. Sometimes, you'll find that linear interpolation (where you just connect points with straight lines) is a perfectly good solution to your problem.
It depends.
If you're using data acquired from the real-world, then statistical regression techniques can provide you with some tools to evaluate the best fit; if you have several hypothesis for the form of the function, you can use statistical regression to discover the "best" fit, though you may need to be careful about over-fitting a curve -- sometimes the best fit (highest correlation) for a specific dataset completely fails to work for future observations.
If, on the other hand, the data was generated something synthetically (say, you know they were generated by a polynomial), then you can use polynomial curve fitting methods that will give you the exact answer you need.
Yes, there are such things.
If you plot the values and see that there's some functional relationship that makes sense, you can use least squares fitting to calculate the parameter values that minimize the error.
If you don't know what the function should look like, you can use simple spline or interpolation schemes.
You can also use software to guess what the function should be. Maybe something like Maxima can help.
Wolfram Alpha can help you guess:
http://blog.wolframalpha.com/2011/05/17/plotting-functions-and-graphs-in-wolframalpha/
Polynomial Interpolation is the way to go if you have a totally random set
http://en.wikipedia.org/wiki/Polynomial_interpolation
If your set is nearly linear, then regression will give you a good approximation.
Creating exact form from the X's and Y's is mostly impossible.
Notice that what you are trying to achieve is at the heart of many Machine Learning algorithm and therefor you might find what you are looking for on some specialized libraries.
A list of x/y values N items long can always be generated by an degree-N polynomial (assuming no x values are the same). See this article for more details:
http://en.wikipedia.org/wiki/Polynomial_interpolation
Some lists may also match other function types, such as exponential, sinusoidal, and many others. It is impossible to find the 'simplest' matching function, but the best you can do is go through a list of common ones like exponential, sinusoidal, etc. and if none of them match, interpolate the polynomial.
I'm not aware of any software that can do this for you, though.
Starting off let me clarify that i have seen This Genetic Algorithm Resource question and it does not answer my question.
I am doing a project in Bioinformatics. I have to take data about the NMR spectrum of a cell(E. Coli) and find out what are the different molecules(metabolites) present in the cell.
To do this i am going to be using Genetic Algorithms in R language. I DO NOT have the time to go through huge books on Genetic algorithms. Heck! I dont even have time to go through little books.(That is what the linked question does not answer)
So i need to know of resources which will help me understand quickly what it is Genetic Algorithms do and how they do it. I have read the Wikipedia entry ,this webpage and also a couple of IEEE papers on the subject.
Any working code in R(even in C) or pointers to which R modules(if any) to be used would be helpful.
A brief (and opinionated) introduction to genetic algorithms is at http://www.burns-stat.com/pages/Tutor/genetic.html
A simple GA written in R is available at http://www.burns-stat.com/pages/Freecode/genopt.R The "documentation" is in 'S Poetry' http://www.burns-stat.com/pages/Spoetry/Spoetry.pdf and the code.
I assume from your question you have some function F(metabolites) which yields a spectrum but you do not have the inverse function F'(spectrum) to get back metabolites. The search space of metabolites is large so rather than brute force it you wish to try an approximate method (such as a genetic algorithm) which will make a more efficient random search.
In order to apply any such approximate method you will have to define a score function which compares the similarity between the target spectrum and the trial spectrum. The smoother this function is the better the search will work. If it can only yield true/false it will be a purely random search and you'd be better off with brute force.
Given the F and your score (aka fitness) function all you need to do is construct a population of possible metabolite combinations, run them all through F, score all the resulting spectrums, and then use crossover and mutation to produce a new population that combines the best candidates. Choosing how to do the crossover and mutation is generally domain specific because you can speed the process greatly by avoiding the creation of nonsense genomes. The best mutation rate is going to be very small but will also require tuning for your domain.
Without knowing about your domain I can't say what a single member of your population should look like, but it could simply be a list of metabolites (which allows for ordering and duplicates, if that's interesting) or a string of boolean values over all possible metabolites (which has the advantage of being order invariant and yielding obvious possibilities for crossover and mutation). The string has the disadvantage that it may be more costly to filter out nonsense genes (for example it may not make sense to have only 1 metabolite or over 1000). It's faster to avoid creating nonsense rather than merely assigning it low fitness.
There are other approximate methods if you have F and your scoring function. The simplest is probably Simulated Annealing. Another I haven't tried is the Bees Algorithm, which appears to be multi-start simulated annealing with effort weighted by fitness (sort of a cross between SA and GA).
I've found the article "The science of computing: genetic algorithms", by Peter J. Denning (American Scientist, vol 80, 1, pp 12-14). That article is simple and useful if you want to understand what genetic algorithms do, and is only 3 pages to read!!
Does there exist a simple, cheatsheet-like document which compiles the best practices for mathematical computing in R? Does anyone have a short list of their best-practices? E.g., it would include items like:
For large numerical vectors x, instead of computing x^2, one should compute x*x. This speeds up calculations.
To solve a system $Ax = b$, never solve $A^{-1}$ and left-multiply $b$. Lower order algorithms exist (e.g., Gaussian elimination)
I did find a nice numerical analysis cheatsheet here. But I'm looking for something quicker, dirtier, and more specific to R.
#Dirk Eddelbeuttel has posted a bunch of stuff on "high performance computing with R". He's also a regular so will probably come along and grab some well-deserved reputation points. While you are waiting you can read some of his stuff here:
http://dirk.eddelbuettel.com/papers/ismNov2009introHPCwithR.pdf
There is an archive of the r-devel mailing list where discussions about numerical analysis issues relating to R performance occur. I will often put its URL in the Google advanced search page domain slot when I want to see what might have been said in the past: https://stat.ethz.ch/pipermail/r-devel/
I'm checking a simple moving average crossing strategy in R. Instead of running a huge simulation over the 2 dimenional parameter space (length of short term moving average, length of long term moving average), I'd like to implement the Particle Swarm Optimization algorithm to find the optimal parameter values. I've been browsing through the web and was reading that this algorithm was very effective. Moreover, the way the algorithm works fascinates me...
Does anybody of you guys have experience with implementing this algorithm in R? Are there useful packages that can be used?
Thanks a lot for your comments.
Martin
Well, there is a package available on CRAN called pso, and indeed it is a particle swarm optimizer (PSO).
I recommend this package.
It is under actively development (last update 22 Sep 2010) and is consistent with the reference implementation for PSO. In addition, the package includes functions for diagnostics and plotting results.
It certainly appears to be a sophisticated package yet the main function interface (the function psoptim) is straightforward--just pass in a few parameters that describe your problem domain, and a cost function.
More precisely, the key arguments to pass in when you call psoptim:
dimensions of the problem, as a vector
(par);
lower and upper bounds for each
variable (lower, upper); and
a cost function (fn)
There are other parameters in the psoptim method signature; those are generally related to convergence criteria and the like).
Are there any other PSO implementations in R?
There is an R Package called ppso for (parallel PSO). It is available on R-Forge. I do not know anything about this package; i have downloaded it and skimmed the documentation, but that's it.
Beyond those two, none that i am aware of. About three months ago, I looked for R implementations of the more popular meta-heuristics. This is the only pso implementation i am aware of. The R bindings to the Gnu Scientific Library GSL) has a simulated annealing algorithm, but none of the biologically inspired meta-heuristics.
The other place to look is of course the CRAN Task View for Optimization. I did not find another PSO implementation other than what i've recited here, though there are quite a few packages listed there and most of them i did not check other than looking at the name and one-sentence summary.
I'm not looking for a general discussion on if math is important or not for programming.
Instead I'm looking for real world scenarios where you have actually used some branch of math to solve some particular problem during your career as a software developer.
In particular, I'm looking for concrete examples.
I frequently find myself using De Morgan's theorem when as well as general Boolean algebra when trying to simplify conditionals
I've also occasionally written out truth tables to verify changes, as in the example below (found during a recent code review)
(showAll and s.ShowToUser are both of type bool.)
// Before
(showAll ? (s.ShowToUser || s.ShowToUser == false) : s.ShowToUser)
// After!
showAll || s.ShowToUser
I also used some basic right-angle trigonometry a few years ago when working on some simple graphics - I had to rotate and centre a text string along a line that could be at any angle.
Not revolutionary...but certainly maths.
Linear algebra for 3D rendering and also for financial tools.
Regression analysis for the same financial tools, like correlations between financial instruments and indices, and such.
Statistics, I had to write several methods to get statistical values, like the F Probability Distribution, the Pearson product moment coeficient, and some Linear Algebra correlations, interpolations and extrapolations for implementing the Arbitrage pricing theory for asset pricing and stocks.
Discrete math for everything, linear algebra for 3D, analysis for physics especially for calculating mass properties.
[Linear algebra for everything]
Projective geometry for camera calibration
Identification of time series / statistical filtering for sound & image processing
(I guess) basic mechanics and hence calculus for game programming
Computing sizes of caches to optimize performance. Not as simple as it sounds when this is your critical path, and you have to go back and work out the times saved by using the cache relative to its size.
I'm in medical imaging, and I use mostly linear algebra and basic geometry for anything related to 3D display, anatomical measurements, etc...
I also use numerical analysis for handling real-world noisy data, and a good deal of statistics to prove algorithms, design support tools for clinical trials, etc...
Games with trigonometry and AI with graph theory in my case.
Graph theory to create a weighted graph to represent all possible paths between two points and then find the shortest or most efficient path.
Also statistics for plotting graphs and risk calculations. I used both Normal distribution and cumulative normal distribution calculations. Pretty commonly used functions in Excel I would guess but I actully had to write them myself since there is no built-in support in the .NET libraries. Sadly the built in Math support in .NET seem pretty basic.
I've used trigonometry the most and also a small amount a calculus, working on overlays for GIS (mapping) software, comparing objects in 3D space, and converting between coordinate systems.
A general mathematical understanding is very useful if you're using 3rd party libraries to do calculations for you, as you ofter need to appreciate their limitations.
i often use math and programming together, but the goal of my work IS the math so use software to achive that.
as for the math i use; mostly Calculus (FFT's analysing continuous and discrete signals) with a slash of linar algebra (CORDIC) to do trig on a MCU with no floating point chip.
I used a analytic geometry for simple 3d engine in opengl in hobby project on high school.
Some geometry computation i had used for dynamic printing reports, where was another 90° angle layout than.
A year ago I used some derivatives and integrals for store analysis (product item movement in store).
Bot all the computation can be found on internet or high-school book.
Statistics mean, standard-deviation, for our analysts.
Linear algebra - particularly gauss-jordan elimination and
Calculus - derivatives in the form of difference tables for generating polynomials from a table of (x, f(x))
Linear algebra and complex analysis in electronic engineering.
Statistics in analysing data and translating it into other units (different project).
I used probability and log odds (log of the ratio of two probabilities) to classify incoming emails into multiple categories. Most of the heavy lifting was done by my colleague Fidelis Assis.
Real world scenarios: better rostering of staff, more efficient scheduling of flights, shortest paths in road networks, optimal facility/resource locations.
Branch of maths: Operations Research. Vague definition: construct a mathematical model of a (normally complex) real world business problem, and then use mathematical tools (e.g. optimisation, statistics/probability, queuing theory, graph theory) to interrogate this model to aid in the making of effective decisions (e.g. minimise cost, maximise efficency, predict outcomes etc).
Statistics for scientific data analyses such as:
calculation of distributions, z-standardisation
Fishers Z
Reliability (Alpha, Kappa, Cohen)
Discriminance analyses
scale aggregation, poling, etc.
In actual software development I've only really used quite trivial linear algebra, geometry and trigonometry. Certainly nothing more advanced than the first college course in each subject.
I have however written lots of programs to solve really quite hard math problems, using some very advanced math. But I wouldn't call any of that software development since I wasn't actually developing software. By that I mean that the end result wasn't the program itself, it was an answer. Basically someone would ask me what is essentially a math question and I'd write a program that answered that question. Sure I’d keep the code around for when I get asked the question again, and sometimes I’d send the code to someone so that they could answer the question themselves, but that still doesn’t count as software development in my mind. Occasionally someone would take that code and re-implement it in an application, but then they're the ones doing the software development and I'm the one doing the math.
(Hopefully this new job I’ve started will actually let me to both, so we’ll see how that works out)