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Updated support for CMA-ES minimizer based on libcmaes #7044

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Updated support for CMA-ES minimizer based on libcmaes #7044

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@lmoneta lmoneta commented Jan 14, 2021

This is an updated PR of #507 that is an update of #40.

As a reminder, this PR integrates a new minimizer in ROOT, CMA-ES see https://github.com/beniz/libcmaes/ .

It rebases the new commits from @beniz to the current master and fixes the Eigen configuration issue.

beniz and others added 30 commits January 14, 2021 11:00
@beniz @lmoneta
first cmaes addition
3822155
@beniz @lmoneta
adding cmaes repository
d5bcdbd
@lmoneta
added cmaes plugin
fc4cb4d
@lmoneta
first working auto-loaded cmaes
ea48ab9
@lmoneta
fixed cmaes wrapper + added likelihood gaussian fit to tutorial
b26ba26
@lmoneta
connecting error estimates to cmaes wrapper
d1cf676
@lmoneta
default CMA-ES progress function set to no output
f8fa37f
@lmoneta
added support for box-type constraints with CMA-ES
8f4a6fb
@lmoneta
added support to multiple flavors of CMA-ES
064e2d7
@lmoneta
added 1D histograms fitting benchmark for CMA-ES
b86a301
@lmoneta
fixed loading of libraries in CMA-ES tutorial hist fit
0b67e07
@lmoneta
fixed status in libcmaes wrapper
9f24748
@lmoneta
fixed initialization of parameters with CMA-ES
7f0bf46
@lmoneta
added 2D bench for cmaes
3422ef4
@lmoneta
added explanations to hist 1D fit for cmaes
aa18df9
@lmoneta
fixed parameters init for CMA-ES after refactoring of the libcmaes
70e1ed9
@lmoneta
provides error to true in CMAESMinimizer.h + preparing for fixed para…
05fb18e 
…meters
@lmoneta
set default sigma0 for CMA-ES as the max step size across parameters
34e619e
@lmoneta
fixed multiple loading of external lib in fit tutorial for CMA-ES
3dec521
@lmoneta
introduced first MINOS version for CMA-ES + added control of ftoleran…
dd16df8 
…ce + added control of fixed variables and auto-maxiter stopping criteria
@lmoneta
added to CMA-ES packagte the same tests that are available for Minuit2
a6e12ed
@lmoneta
fixes and additions to current set of fit tutorials for CMA-ES + new …
cf4db6a 
…tutorials
@lmoneta
connected fUp to CMA-ES confidence interval (minos) computations
979f0f3
@lmoneta
added control of max iterations and max functions eval to CMA-ES thro…
68d6bf9 
…ugh wrapper
@lmoneta
did bump the default max function budget for CMA-ES
62770e9
@lmoneta
added support for MinimizerOptions with cmaes, fixes #4
da653ef
@lmoneta
using conservative min initial step-size value across all parameters …
be005d8 
…for default cmaes initial value
@lmoneta
adapted tutorials to new cmaes performances
e2a31e4
@lmoneta
added support for gradient information with cmaes when available
11f339a
@lmoneta
added cmaes full bench tutorial script
76c0566
Emmanuel Benazera and others added 15 commits January 14, 2021 11:14
@lmoneta
connected libcmaes contour function
56d2821
@lmoneta
use libcmaes simplified algo setter
cf516ca
@lmoneta
cleared compilation warnings of CMA-ES Minimizer
9ea683e
@lmoneta
disabling libcmaes surrogates as unused in ROOT and for faster build …
6399d49 
…of the library
@lmoneta
added Scan function to CMAESMinimizer
e315e06
@lmoneta
using libcmaes errors() call for standard deviation
d9ddb00
@lmoneta
added proper funding reference of the CMA-ES integration work
c88245c
@beniz @lmoneta
fixed TF1 merge
f8a72c7
@beniz @lmoneta
cmaes ROOT_USE_PACKAGE removal
4e9c057
@beniz @lmoneta
removed backup file
1edb454
@beniz @lmoneta
buildcmaes in alphabetical order
00fa9b7
@beniz @lmoneta
fixed Root main URL in cmaes module README
41d376a
@beniz @lmoneta
removed protectors around cmaes minimizer headers
51b16e9
@lmoneta
Apply some fixes after merging CMAES branch
3556ff0
@lmoneta
Fix configuration for cmaes by looking also for Eigen3 that is needed…
492a08f 
… by cmaes

Use ROOT_STANDARD_LIBRARY_PACKAGE for cmaes
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Starting build on ROOT-debian10-i386/cxx14, ROOT-performance-centos8-multicore/default, ROOT-fedora30/cxx14, ROOT-fedora31/noimt, ROOT-ubuntu16/nortcxxmod, mac1014/python3, mac11.0/cxx17, windows10/cxx14
How to customize builds

@lmoneta lmoneta mentioned this pull request Jan 14, 2021
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@lmoneta lmoneta requested review from omazapa and removed request for couet January 14, 2021 17:38
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Build failed on mac11.0/cxx17.
Running on macphsft20.dyndns.cern.ch:/Users/sftnight/build/workspace/root-pullrequests-build
See console output.

Failing tests:

@beniz
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beniz commented Jan 14, 2021

@lmoneta Hi, happy to see this moving forward! FYI libcmaes recently went under the same umbrella as the other CMA-ES reference implementations, https://github.com/CMA-ES/libcmaes. Don't hesitate to file issues if we can help with integration from the libcmaes side.

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Build failed on ROOT-performance-centos8-multicore/default.
Running on null:/data/sftnight/workspace/root-pullrequests-build
See console output.

Failing tests:

@omazapa
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omazapa commented Jan 15, 2021

this is awesome @lmoneta and @beniz
I am so happy to see this code and glad to be a reviewer.

Let's see my comments in the files :D

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omazapa commented Jan 15, 2021

I leave some comments about some small details in the code.

I am still running some tests and tutorials, which is taking some time.

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lmoneta commented Jan 15, 2021

@beniz, sorry for starting this after a long time, but I think it is good to have this library integrated in ROOT.
I see now cameos can early build with cmake and this will make it easier to also download and install the library automatically.
I will try to fix issues from the ROOT side myself, but feel free to comment and correct me

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@Axel-Naumann Axel-Naumann Awaiting requested review from Axel-Naumann

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@omazapa omazapa Awaiting requested review from omazapa

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