Updated support for CMA-ES minimizer based on libcmaes

cmake/modules/FindLibcmaes.cmake

@@ -0,0 +1,53 @@
+# - Try to find libcmaes, https://github.com/beniz/libcmaes
+# Once done this will define
+#
+#  LIBCMAES_FOUND - system has libcmaes
+#  LIBCMES_INCLUDE_DIR - the libcmaes include directory
+#  LIBCMAES_LIBRARIES - Link these to use libcmaes
+#  LIBCMAES_DEFINITIONS - Compiler switches required for using libcmaes
+# Redistribution and use is allowed according to the terms of the BSD license.
+# For details see the accompanying COPYING-CMAKE-SCRIPTS file.
+#
+
+
+# Copyright (c) 2014, Emmanuel Benazera, <[email protected]>
+#
+# Redistribution and use is allowed according to the terms of the BSD license.
+# For details see the accompanying COPYING-CMAKE-SCRIPTS file.
+
+if ( LIBCMAES_INCLUDE_DIR AND LIBCMAES_LIBRARIES )
+   # in cache already
+   SET(Libcmaes_FIND_QUIETLY TRUE)
+endif ( LIBCMAES_INCLUDE_DIR AND LIBCMAES_LIBRARIES )
+
+# use pkg-config to get the directories and then use these values
+# in the FIND_PATH() and FIND_LIBRARY() calls
+if( NOT WIN32 )
+  find_package(PkgConfig)
+  pkg_check_modules(PC_LIBCMAES QUIET libcmaes)
+
+  if( PKG_CONFIG_FOUND )
+    set(LIBCMAES_INCLUDE_DIR ${PC_LIBCMAES_INCLUDE_DIRS})
+    set(LIBCMAES_LIBRARIES ${PC_LIBCMAES_LIBRARY_DIRS})
+    set(LIBCMAES_DEFINITIONS ${PC_LIBCMAES_CFLAGS_OTHER})
+  endif( PKG_CONFIG_FOUND )
+
+endif( NOT WIN32 )
+
+find_path(LIBCMAES_INCLUDE_DIR NAMES cmaes.h
+  PATHS
+  ${PC_LIBCMAES_INCLUDEDIR}
+  ${PC_LIBCMAES_INCLUDE_DIRS}
+)
+
+find_library(LIBCMAES_LIBRARIES NAMES libcmaes
+  PATHS
+  ${PC_LIBCMAES_LIBDIR}
+  ${PC_LIBCMAES_LIBRARY_DIRS}
+)
+
+include(FindPackageHandleStandardArgs)
+find_package_handle_standard_args(Libcmaes DEFAULT_MSG LIBCMAES_INCLUDE_DIR LIBCMAES_LIBRARIES )
+
+# show the LIBCMAES_INCLUDE_DIR and LIBCMAES_LIBRARIES variables only in the advanced view
+mark_as_advanced(LIBCMAES_INCLUDE_DIR LIBCMAES_LIBRARIES )

cmake/modules/RootBuildOptions.cmake

@@ -132,6 +132,7 @@ ROOT_BUILD_OPTION(http ON "Enable suppport for HTTP server")
 ROOT_BUILD_OPTION(fcgi OFF "Enable FastCGI suppport in HTTP server")
 ROOT_BUILD_OPTION(imt ON "Enable support for implicit multi-threading via Intel® Thread Bulding Blocks (TBB)")
 ROOT_BUILD_OPTION(jemalloc OFF "Use jemalloc memory allocator")
+ROOT_BUILD_OPTION(libcmaes OFF "Build the libcmaes minimizer library")
 ROOT_BUILD_OPTION(libcxx OFF "Build using libc++")
 ROOT_BUILD_OPTION(macos_native OFF "Disable looking for libraries, includes and binaries in locations other than a native installation (MacOS only)")
 ROOT_BUILD_OPTION(mathmore ON "Build libMathMore extended math library (requires GSL)")

cmake/modules/RootConfiguration.cmake

@@ -317,6 +317,7 @@ set(gslflags)
 
 set(shadowpw ${value${shadowpw}})
 set(buildmathmore ${value${mathmore}})
+set(buildcmaes ${value${libcmaes}})
 set(buildroofit ${value${roofit}})
 set(buildminuit2 ${value${minuit2}})
 set(buildunuran ${value${unuran}})

cmake/modules/SearchInstalledSoftware.cmake

@@ -729,6 +729,50 @@ if(sqlite)
   endif()
 endif()
 
+#---Check for Libcmaes-------------------------------------------------------------------
+if(libcmaes)
+  message(STATUS "Looking for libcmaes")
+  find_package(Libcmaes)
+  if (LIBCMAES_FOUND)
+    #we need also eigen3
+    find_package(Eigen3)
+    if (NOT EIGEN3_FOUND)
+      message(STATUS "Eigen3 not found. Cannot use libcmaes")
+      set(LIBCMAES_FOUND 0)
+    endif()
+  endif()
+  #here for builtin cmaes (not ful;ly implemented yet)
+  if(NOT LIBCMAES_FOUND AND BUILTIN_CMAES)
+    message(STATUS "Fetching and compiling libcmaes")
+    ExternalProject_Add(
+      eigen3
+      PREFIX eigen3
+      INSTALL_DIR ${CMAKE_BINARY_DIR}
+      URL http://bitbucket.org/eigen/eigen/get/3.2.2.tar.gz
+      CMAKE_ARGS -DCMAKE_INSTALL_PREFIX=<INSTALL_DIR>
+      )
+    ExternalProject_Add(
+      cma
+      DEPENDS eigen3
+      PREFIX cma
+      INSTALL_DIR ${CMAKE_BINARY_DIR}
+      URL https://github.com/beniz/libcmaes/archive/master.tar.gz
+      CONFIGURE_COMMAND ./autogen.sh && ./configure --prefix=<INSTALL_DIR> --with-eigen3-include=${CMAKE_BINARY_DIR}/include/eigen3 --enable-onlylib --disable-surrog
+      BUILD_IN_SOURCE 1
+      )
+    set(LIBCMAES_INCLUDE_DIR ${CMAKE_BINARY_DIR}/include/libcmaes ${CMAKE_BINARY_DIR}/include/eigen3)
+    set(LIBCMAES_LIBRARIES ${CMAKE_BINARY_DIR}/lib/)
+    if(fail-on-missing)
+      message(FATAL_ERROR "libcmaes not found")
+    else()
+      message(STATUS "libcmaes not found. Switching off libcmaes option")
+      set(libcmaes OFF CACHE BOOL "" FORCE)
+     endif()
+  endif()
+else()
+  message(STATUS "libcmaes found in ${LIBCMAES_LIBRARIES}")
+endif()
+
 #---Check for Pythia6-------------------------------------------------------------------
 if(pythia6)
   message(STATUS "Looking for Pythia6")
@@ -1571,9 +1615,9 @@ if(cuda OR tmva-gpu)
     ### look for package CuDNN
     if (cudnn)
       if (fail-on-missing)
-        find_package(CuDNN REQUIRED)
+        find_package(CUDNN REQUIRED)
       else()
-        find_package(CuDNN)
+        find_package(CUDNN)
       endif()
       if (CUDNN_FOUND)
         message(STATUS "CuDNN library found: " ${CUDNN_LIBRARIES})

config/Makefile.in

@@ -316,6 +316,11 @@ BUILDROOFIT    := @buildroofit@
 
 BUILDMINUIT2   := @buildminuit2@
 
+BUILDCMAES     := @buildcmaes@
+CMAESINCDIR    := $(filter-out -I/usr/include, @cmaesincdir@)
+CMAESLIBDIR    := @cmaeslibdir@
+CMAESLIB       := -lcmaes
+
 BUILDUNURAN    := @buildunuran@
 
 BUILDVC        := @buildvc@

etc/plugins/ROOT@@Math@@Minimizer/P010_Minuit2Minimizer.C

@@ -1,5 +1,5 @@
 void P010_Minuit2Minimizer()
 {
-   gPluginMgr->AddHandler("ROOT::Math::Minimizer", "Minuit2", "ROOT::Minuit2::Minuit2Minimizer",
-      "Minuit2", "Minuit2Minimizer(const char *)");
+  gPluginMgr->AddHandler("ROOT::Math::Minimizer", "Minuit2", "ROOT::Minuit2::Minuit2Minimizer",
+			 "Minuit2", "Minuit2Minimizer(const char *)");
 }

etc/plugins/ROOT@@Math@@Minimizer/P090_TCMAESMinimizer.C

@@ -0,0 +1,5 @@
+void P090_TCMAESMinimizer()
+{
+  gPluginMgr->AddHandler("ROOT::Math::Minimizer", "cmaes", "ROOT::cmaes::TCMAESMinimizer",
+			 "Cmaes", "TCMAESMinimizer(const char *)");
+}

math/CMakeLists.txt

@@ -13,6 +13,9 @@ add_subdirectory(minuit)
 if(minuit2)
   add_subdirectory(minuit2)
 endif()
+if (libcmaes)
+  add_subdirectory(cmaes)
+endif()
 add_subdirectory(fumili)
 add_subdirectory(physics)
 if(mlp)

math/cmaes/CMakeLists.txt

@@ -0,0 +1,25 @@
+############################################################################
+# CMakeLists.txt file for building ROOT math/cmaes package
+############################################################################
+
+add_definitions(-DWARNINGMSG -DUSE_ROOT_ERROR)
+
+include_directories(${LIBCMAES_INCLUDE_DIR} ${EIGEN3_INCLUDE_DIR})
+link_directories(${LIBCMAES_LIBRARIES})
+
+#ROOT_GENERATE_DICTIONARY(G__cmaes *.h MODULE cmaes LINKDEF LinkDef.h)
+
+#ROOT_LINKER_LIBRARY(cmaes_root *.cxx G__cmaes.cxx DEPENDENCIES MathCore Hist LIBRARIES cmaes)
+#ROOT_INSTALL_HEADERS()
+
+ROOT_STANDARD_LIBRARY_PACKAGE(Cmaes
+  HEADERS
+    CMAESMinimizer.h
+  SOURCES
+    src/CMAESMinimizer.cxx
+  DEPENDENCIES
+    MathCore
+    Hist
+  LIBRARIES
+    cmaes
+)

math/cmaes/README.md

@@ -0,0 +1,128 @@
+### This is support for black-box optimization with CMA-ES from within ROOT (http://root.cern.ch/).
+
+This work was supported by the ANR-2010-COSI-002 grant of the French NationalA Research Agency.
+
+** This work is improved when needed, see status here: https://github.com/beniz/libcmaes/issues/13 **
+
+** This work may be about to be merged into ROOT repository, follow integration here: 
+https://github.com/root-mirror/root/pull/40 **
+
+libcmaes can be used from CERN's ROOT6 as a seamless replacement or addition to Minuit2 optimizer. It is designed to be used from ROOT6 **exactly** as Minuit2 is used, so code using Minuit2 should be easily run against CMA-ES.
+
+Below are instructions for testing it out. 
+
+### Building ROOT6 and libcmaes
+As for now, the only way to use libcmaes is from ROOT6, using the following special repository, and compiling it from sources (1): https://github.com/beniz/root
+
+* get ROOT6 from https://github.com/beniz/root/tree/cmaes4root_master, configure & compile it (this will take a while) (2):
+````
+git clone https://github.com/beniz/root.git
+cd root
+```
+It is recommended to build with cmake, see below.
+
+#### Build with autoconf (configure) ####
+For this, you need to have libcmaes installed already, see https://github.com/beniz/libcmaes/wiki
+```
+./configure --enable-minuit2 --enable-roofit --enable-python --with-cmaes-incdir=/home/yourusername/include/libcmaes --with-cmaes-libdir=/home/yourusername/lib
+make
+````
+use make -jx where x is the number of cores on your system in order to minimize the building time.
+
+#### Build with cmake ####
+````
+mkdir mybuild
+cd mybuild
+cmake ../ -Dall=on -Dtesting=on -Dlibcmaes=on
+make
+````
+use make -jx where x is the number of cores on your system in order to minimize the building time.
+
+### Running an example with CMA-ES
+To run the basic fitting of a Gaussian, originally taken from Minuit2's tutorial files, do:
+````
+root
+.L tutorials/fit/cmaesGausFit.C++g
+cmaesGausFit()
+````
+You should see a plot similar to 
+![cmaes_gaus_fit_root_errors](https://cloud.githubusercontent.com/assets/3530657/2890890/4d96ae1c-d52d-11e3-9610-f24790b23e98.png)
+
+To quick test competitiveness against Minuit2:
+````
+root
+.L tutorials/fit/cmaesFitBench.C
+ cmaesFitBench()
+````
+You should witness a plot similar to
+![](http://juban.free.fr/stuff/libcmaes/cmaes_minuit2_competitive.png)
+
+### Running a benchmark comparison of CMA-ES and Minuit2
+
+To run the current benchmark and visualize results, take the following steps:
+````
+root
+.L tutorials/fit/cmaesFullBench.C
+run_experiments(10)
+python math/cmaes/test/cmaesFullBench.py
+````
+
+This should show a series of histograms comparing results from both optimizers on a selection of problems.
+
+### Options to the CMA-ES minimizers within ROOT
+There's built-in control for several hyper-parameters and options of CMA-ES:
+* several flavors of the algorithm are available, and can be choosen at creation of the Minimizer object:
+````
+TVirtualFitter::SetDefaultFitter(``acmaes'');
+````
+or
+````
+ROOT::Fit::Fitter fitter;
+fitter.Config().SetMinimizer(``cmaes'',''acmaes'');
+````
+The available algorithms are: `cmaes, ipop, bipop, acmaes, aipop, abipop, sepcmaes, sepipop, sepbipop`. 
+
+'acmaes' should be the most appropriate in most cases, and 'sepacmaes' when the number of dimensions nears a thousand.
+
+The options below are not required, but can be used by filling up a MinimizerOptions object beforehand:
+````
+const char *fitter = "acmaes"
+TVirtualFitter::SetDefaultFitter(fitter);
+ROOT::Math::IOptions &opts = ROOT::Math::MinimizerOptions::Default(fitter);
+opts.SetIntValue("lambda",100);
+````
+Options below are not activated by default:
+* 'sigma': initial step-size
+* 'lambda': number of offsprings at each generation
+* 'noisy': flag that updates some hyper-parameters if the objective function is noisy
+* 'restarts': maximum number of restarts, only applies to ipop, bipop, aipop, abipop, sepipop and sepbipop
+* 'ftarget': the objective function target that stops optimization when reached, useful when the final value is known, e.g. 0
+* 'fplot': output file in libcmaes format for later plotting of eigenvalues and state convergence, mostly for debug purposes
+* 'lscaling': automatic linear scaling of parameters with auto-selection of step-size sigma, usually recommended if results are not satisfactory
+* 'mt_feval': allows for parallel calls of the objective function, faster but the objective function is required to be thread-safe.
+
+### Using CMA-ES from RooFit
+libcmaes support within ROOT extends to RooFit without effort.
+
+From Roofit, it is enough to set the Minimizer with
+```C++
+
+```
+and from PyROOT for example
+```Python
+RooFit.Minimizer("cmaes","acmaes")
+```
+
+For setting CMA-ES custom options, such as 'sigma', 'lambda' or 'lscaling', it is enough to set the options as explained in the non RooFit case:
+```C++
+ROOT::Math::IOptions &opts = ROOT::Math::MinimizerOptions::Default(fitter);
+opts.SetIntValue("lambda",100);
+```
+and from PyRoot
+```Python
+opt = ROOT.Math.MinimizerOptions.Default("cmaes")
+opt.SetIntValue("lambda",100)
+```
+
+(1) more convenient ways will be provided.
+(2) we recommend building support for both Minuit2 (i.e. for comparison to CMA-ES) and debug.