edu.utexas.cs.tactex.tariffoptimization.OptimizerWrapperApacheBOBYQA.java Source code

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Here is the source code for edu.utexas.cs.tactex.tariffoptimization.OptimizerWrapperApacheBOBYQA.java

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/*
 * TacTex - a power trading agent that competed in the Power Trading Agent Competition (Power TAC) www.powertac.org
 * Copyright (c) 2013-2016 Daniel Urieli and Peter Stone {urieli,pstone}@cs.utexas.edu               
 *
 *
 * This file is free software: you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * This file is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.
 *
 * You should have received a copy of the GNU General Public License
 * along with this program.  If not, see <http://www.gnu.org/licenses/>.
 */
package edu.utexas.cs.tactex.tariffoptimization;

import java.util.Arrays;
import java.util.TreeMap;

import org.apache.commons.math3.analysis.MultivariateFunction;
import org.apache.commons.math3.optim.InitialGuess;
import org.apache.commons.math3.optim.MaxEval;
import org.apache.commons.math3.optim.PointValuePair;
import org.apache.commons.math3.optim.SimpleBounds;
import org.apache.commons.math3.optim.nonlinear.scalar.GoalType;
import org.apache.commons.math3.optim.nonlinear.scalar.ObjectiveFunction;
import org.apache.commons.math3.optim.nonlinear.scalar.noderiv.BOBYQAOptimizer;
import org.powertac.common.TariffSpecification;

import edu.utexas.cs.tactex.interfaces.OptimizerWrapper;
import edu.utexas.cs.tactex.interfaces.TariffUtilityEstimate;

public class OptimizerWrapperApacheBOBYQA implements OptimizerWrapper {

    //////////////////////////////////////////////////////////////////////
    //
    // PARAMS TO TUNE BOBYQA's behavior
    //
    //
    private static final double STOPPING_TRUST_REGION_RADIUS = 0.01; // 0.005; // 0.005; // 1e-2;// 1e-3;// 1e-4;// 1e-5;
    private static final double INITIAL_TRUST_REGION_RADIUS = 0.01;
    //
    //////////////////////////////////////////////////////////////////////

    @Override
    public TreeMap<Double, TariffSpecification> findOptimum(TariffUtilityEstimate tariffUtilityEstimate,
            int NUM_RATES, int numEval) {

        double[] startingVertex = new double[NUM_RATES]; // start from the fixed-rate tariff's offset
        Arrays.fill(startingVertex, 0.0);
        //Arrays.fill(startingVertex, 0.5 * INITIAL_TRUST_REGION_RADIUS);
        //Arrays.fill(startingVertex, 1 * INITIAL_TRUST_REGION_RADIUS);

        final int numIterpolationPoints = 2 * NUM_RATES + 1; // BOBYQA recommends 2n+1 points
        BOBYQAOptimizer optimizer = new BOBYQAOptimizer(numIterpolationPoints, INITIAL_TRUST_REGION_RADIUS,
                STOPPING_TRUST_REGION_RADIUS);

        // needed since one optimization found positive 
        // charges (paying customer to consume...)
        double[][] boundaries = createBoundaries(NUM_RATES);

        final PointValuePair optimum = optimizer.optimize(new MaxEval(numEval),
                new ObjectiveFunction(new OptimizerWrapperApacheObjective(tariffUtilityEstimate)),
                GoalType.MAXIMIZE, new InitialGuess(startingVertex),
                //new SimpleBounds(boundaries[0], boundaries[1]));
                SimpleBounds.unbounded(NUM_RATES));

        TreeMap<Double, TariffSpecification> eval2TOUTariff = new TreeMap<Double, TariffSpecification>();
        eval2TOUTariff.put(optimum.getValue(), tariffUtilityEstimate.getCorrespondingSpec(optimum.getKey()));
        return eval2TOUTariff;
    }

    private double[][] createBoundaries(int NUM_RATES) {
        double[][] boundaries = new double[2][NUM_RATES];
        final double lower = -0.5;
        final double upper = 0;
        for (int i = 0; i < NUM_RATES; i++)
            boundaries[0][i] = lower;
        for (int i = 0; i < NUM_RATES; i++)
            boundaries[1][i] = upper;
        return boundaries;
    }
}