Parallel evaluation inefficiency #1
Description
Line 913 in c1e8786
Hi, thanks for this great procedure. I would like to note that the parallel evaluation slows down considerably if the function is evaluated as Nan. I would like to suggest a work-around that could be improved on.
if flgEvalParallel
qqqqq=find(isnan(fitness.raw));
tries100=1;
% fitness.raw(k) = NaN;
tries = flgEvalParallel; % in parallel case this is the first re-trial
% Resample, until fitness is not NaN
while ~isempty(qqqqq)
Nnanssss=length(qqqqq);
Nminattemps=36;
Nnanreplics=floor(Nminattemps/Nnanssss);
if Nnanreplics>1
qqqqqrepelem=repelem(qqqqq,1,Nnanreplics);
else
qqqqqrepelem=qqqqq;
end
NnanTRIES=length(qqqqqrepelem);
arzTRIES=nan(N,NnanTRIES);
arxTRIES=arzTRIES;
arxvalidTRIES=arzTRIES;
eeeee=0;
for k=qqqqqrepelem
eeeee=eeeee+1;
if k <= lambda % regular samples (not the re-evaluation-samples)
arzTRIES(:,eeeee) = randn(N,1); % (re)sample
if flgDiagonalOnly
arxTRIES(:,eeeee) = xmean + sigma * diagD .* arzTRIES(:,eeeee); % Eq. (1)
else
arxTRIES(:,eeeee) = xmean + sigma * (BD * arzTRIES(:,eeeee)); % Eq. (1)
end
else % re-evaluation solution with index > lambda
if flgDiagonalOnly
arxTRIES(:,eeeee) = arx(:,k-lambda) + (noiseEpsilon * sigma) * diagD .* randn(N,1);
else
arxTRIES(:,eeeee) = arx(:,k-lambda) + (noiseEpsilon * sigma) * (BD * randn(N,1));
end
end
% You may handle constraints here. You may either resample
% arz(:,k) and/or multiply it with a factor between -1 and 1
% (the latter will decrease the overall step size) and
% recalculate arx accordingly. Do not change arx or arz in any
% other way.
if ~bnd.isactive
arxvalidTRIES(:,eeeee) = arxTRIES(:,eeeee);
else
arxvalidTRIES(:,eeeee) = xintobounds(arxTRIES(:,eeeee), lbounds, ubounds);
end
end
fitnessrawTRIES = feval(fitfun, arxvalidTRIES, varargin{:});
tries = tries + length(qqqqqrepelem);
idTRIES=~isnan(fitnessrawTRIES);
fitnessrawTRIES=fitnessrawTRIES(idTRIES);
qqqqqrepelem=qqqqqrepelem(idTRIES);
arzTRIES=arzTRIES(:,idTRIES);
arxTRIES=arxTRIES(:,idTRIES);
arxvalidTRIES=arxvalidTRIES(:,idTRIES);
for k=qqqqq
idlalala= find(qqqqqrepelem==k,1,'first');
if ~isempty(idlalala)
arz(:,k)=arzTRIES(:,idlalala);
arx(:,k)=arxTRIES(:,idlalala);
arxvalid(:,k)=arxvalidTRIES(:,idlalala);
fitness.raw(k)=fitnessrawTRIES(idlalala);
end
end
qqqqq2=find(isnan(fitness.raw));
if ~isempty(qqqqq2)
countevalNaN = countevalNaN + length(qqqqq2);
counteval = counteval + length(qqqqq) - length(qqqqq2); % retries due to NaN are not counted
end
if floor(tries/100) == tries100
warning([num2str(tries) ...
' NaN objective function values at evaluation ' ...
num2str(counteval)]);
end
tries100=ceil(tries/100);
qqqqq=qqqqq2;
end
else
for k=find(isnan(fitness.raw)),
% fitness.raw(k) = NaN;
tries = flgEvalParallel; % in parallel case this is the first re-trial
% Resample, until fitness is not NaN
while isnan(fitness.raw(k))
if k <= lambda % regular samples (not the re-evaluation-samples)
arz(:,k) = randn(N,1); % (re)sample
if flgDiagonalOnly
arx(:,k) = xmean + sigma * diagD .* arz(:,k); % Eq. (1)
else
arx(:,k) = xmean + sigma * (BD * arz(:,k)); % Eq. (1)
end
else % re-evaluation solution with index > lambda
if flgDiagonalOnly
arx(:,k) = arx(:,k-lambda) + (noiseEpsilon * sigma) * diagD .* randn(N,1);
else
arx(:,k) = arx(:,k-lambda) + (noiseEpsilon * sigma) * (BD * randn(N,1));
end
end
% You may handle constraints here. You may either resample
% arz(:,k) and/or multiply it with a factor between -1 and 1
% (the latter will decrease the overall step size) and
% recalculate arx accordingly. Do not change arx or arz in any
% other way.
if ~bnd.isactive
arxvalid(:,k) = arx(:,k);
else
arxvalid(:,k) = xintobounds(arx(:,k), lbounds, ubounds);
end
% You may handle constraints here. You may copy and alter
% (columns of) arxvalid(:,k) only for the evaluation of the
% fitness function. arx should not be changed.
fitness.raw(k) = feval(fitfun, arxvalid(:,k), varargin{:});
tries = tries + 1;
if isnan(fitness.raw(k))
countevalNaN = countevalNaN + 1;
end
if mod(tries, 100) == 0
warning([num2str(tries) ...
' NaN objective function values at evaluation ' ...
num2str(counteval)]);
end
end
counteval = counteval + 1; % retries due to NaN are not counted
end
end