GlobalMinimization.C

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/// \file
/// \ingroup tutorial_r
/// \notebook -nodraw
/// Example based  in
/// http://cran.r-project.org/web/packages/DEoptim/DEoptim.pdf
/// Please install the R package DEoptim before run this example.
///
/// \macro_code
///
/// \author Omar Zapata

#include<TRInterface.h>
#include<TBenchmark.h>
#include<math.h>
#include<stdlib.h>

// In the next function the *double pointer should be changed by a TVectorD datatype,
// because the pointer has no meaning in R's enviroment.
// This is a generalization of the RosenBrock function, with the min xi=1 and i>0.
Double_t GenRosenBrock(const TVectorD xx )
{
   int length=xx.GetNoElements();

   Double_t result=0;
   for (int i=0;i<(length-1);i++) {
      result+=pow(1-xx[i],2)+100*pow(xx[i+1]-pow(xx[i],2),2);
   }
   return result;
}

//the min xi=0 i>0
Double_t Rastrigin(const TVectorD xx)
{
   int length=xx.GetNoElements();
   Double_t result=10*length;
   for (int i=0;i<length;i++) {
      result+=xx[i]*xx[i]-10*cos(6.2831853*xx[i]);
   }
   return result;
}

void GlobalMinimization()
{
   TBenchmark bench;
   ROOT::R::TRInterface &r=ROOT::R::TRInterface::Instance();

   Bool_t installed=r.Eval("is.element('DEoptim', installed.packages()[,1])");
   if (!installed) {
      std::cout<<"Package DEoptim no installed in R"<<std::endl;
      std::cout<<"Run install.packages('DEoptim') in R's environment"<<std::endl;
      return;
   }

   //loading DEoptim
   r<<"suppressMessages(library(DEoptim, quietly = TRUE))";

   // passing RosenBrock function to R
   r["GenRosenBrock"]<<ROOT::R::TRFunctionExport(GenRosenBrock);

   // maximun number of iterations
   r["MaxIter"]<<5000;
   // n = size of vector that is an argument for GenRosenBrock
   r["n"]<<3;

   // lower limits
   r<<"ll<-rep(-25, n)";
   //upper limits
   r<<"ul<-rep(25, n)";

   bench.Start("GlobalMinimizationRosenBrock");
   // calling minimization and timing it.
   r<<"result1<-DEoptim(fn=GenRosenBrock,lower=ll,upper=ul,control=list(NP=10*n,itermax=MaxIter,trace=FALSE))";
   std::cout<<"-----------------------------------------"<<std::endl;
   std::cout<<"RosenBrock's minimum in: "<<std::endl;
   r<<"print(result1$optim$bestmem)";
   std::cout<<"Bechmark Times"<<std::endl;
   // printing times
   bench.Show("GlobalMinimizationRosenBrock");

   // passing RosenBrock function to R
   r["Rastrigin"]<<ROOT::R::TRFunctionExport(Rastrigin);
   // maximun number of iterations
   r["MaxIter"]<<2000;
   // n = size of a vector which is an argument for Rastrigin
   r["n"]<<3;
   // lower limits
   r<<"ll<-rep(-5, n)";
   // upper limits
   r<<"ul<-rep(5, n)";

   bench.Start("GlobalMinimizationRastrigin");
   // calling minimization and timing it.
   r<<"result2<-DEoptim(fn=Rastrigin,lower=ll,upper=ul,control=list(NP=10*n,itermax=MaxIter,trace=FALSE))";
   std::cout<<"-----------------------------------------"<<std::endl;
   std::cout<<"Rastrigin's minimum in: "<<std::endl;
   r<<"print(result2$optim$bestmem)";
   std::cout<<"Bechmark Times"<<std::endl;
   // printing times
   bench.Show("GlobalMinimizationRastrigin");
   // skip R plotting in batch mode
   if (!gROOT->IsBatch()) {
      r<<"dev.new(title='RosenBrock Convergence')";
      r<<"plot(result1,type='o',pch='.')";
      r<<"dev.off()";
      r<<"dev.new(title='Rastrigin Convergence')";
      r<<"plot(result2,type='o',pch='.')";
      r<<"dev.off()";
   }
}