sqistep, test: New option force_Brent to bypass the improvement requirement

Author: pasky

sqistep.py

@@ -61,15 +61,18 @@ class SQISTEP(STEP):
     >>> print(optimize.xmin, optimize.fmin)
 
     """
-    def __init__(self, fun, epsilon=1e-8, disp=False, tolx=1e-10, maxdiff=1e7, force_STEP=5, split_at_pred=True, posik_SQI=False, **options):
+    def __init__(self, fun, epsilon=1e-8, disp=False, tolx=1e-10, maxdiff=1e7, force_STEP=0, force_Brent=10, split_at_pred=True, posik_SQI=False, **options):
         """
         Set up a SQISTEP algorithm instance on a particular function.
         This does not evaluate it in any way yet - to start optimization,
         call .begin(), then repeatedly .one_step().
 
         If force_STEP = N > 0, every N iterations STEP is forcibly invoked
         instead of (potentially) SQI.  SQI may exhibit slow convergence
-        when the function is quite non-quadratic.
+        when the function is quite non-quadratic.  On the other hand, if
+        force_Brent = N > 0, every N iterations Brent (or SQI) is forcibly
+        invoked instead of STEP when a suitable NIP is available, even if
+        no improvement is predicted.
 
         split_at_pred set to False will keep SQI in use for interval selection,
         but when an interval is selected, it is sampled in its half, not at the
@@ -82,6 +85,7 @@ def __init__(self, fun, epsilon=1e-8, disp=False, tolx=1e-10, maxdiff=1e7, force
         super(SQISTEP, self).__init__(fun, epsilon, disp, tolx, maxdiff, **options)
 
         self.force_STEP = force_STEP
+        self.force_Brent = force_Brent
         self.split_at_pred = split_at_pred
         self.posik_SQI = posik_SQI
 
@@ -124,9 +128,11 @@ def easiest_sqi_interval(self):
                                         np.roll(self.points, -2) - self.qxmin > self.tolx)
         iqfmin = filter(lambda (i, qfmin): qxmin_suitable[i], enumerate(self.qfmin))
         if len(iqfmin) == 0:
+            # print('stop split')
             return None  # We cannot split further
         i, qfmin = min(iqfmin, key=itemgetter(1))
-        if qfmin > self.fmin - self.epsilon:
+        if qfmin > self.fmin - self.epsilon and (self.force_Brent == 0 or self.itercnt % self.force_Brent > 0):
+            # print('%s > %s' % (qfmin, self.fmin - self.epsilon))
             return None  # Even the best estimate is too high
         return i
 

test.py

@@ -279,6 +279,7 @@ def run_ndstep(logfname, minimize_function, options, stclass=STEP, minf=step_min
                                 logf=logf, dimselect=options['dimselect'],
                                 stagiter=options['stagiter'],
                                 force_STEP=options['force_STEP'],
+                                force_Brent=options['force_Brent'],
                                 split_at_pred=options['split_at_pred'],
                                 posik_SQI=options['posik_SQI'],
                                 stclass=stclass, minf=minf,
@@ -304,7 +305,7 @@ def run_ndstep(logfname, minimize_function, options, stclass=STEP, minf=step_min
 
 def usage(err=2):
     print('Benchmark ndstep, ndstep_seq, ndsqistep, ndsqistep_seq, scipy_seq')
-    print('Usage: test.py [-b BURNIN] [-f {f4,bFID}] [-d DIM] [-e {rr,random,mindiff,maxdiff,diffpd,rdiffpd}] [-g EPSILON] [-i MAXITER] [-s SEED] [-r REPEATS] [-t STAGITER] [-I FORCE_STEP_I] [-p|-P] [-o] {nd[sqi]step,nd[sqi]step_seq,scipy_seq}')
+    print('Usage: test.py [-b BURNIN] [-f {f4,bFID}] [-d DIM] [-e {rr,random,mindiff,maxdiff,diffpd,rdiffpd}] [-g EPSILON] [-i MAXITER] [-s SEED] [-r REPEATS] [-t STAGITER] [-I FORCE_STEP_I] [-B FORCE_BRENT_I] [-p|-P] [-o] {nd[sqi]step,nd[sqi]step_seq,scipy_seq}')
     sys.exit(err)
 
 
@@ -321,6 +322,7 @@ def usage(err=2):
         'burnin': 4,  # *D iters are spend systematically sampling first
         'stagiter': None,  # *D iters non-improving will cause a restart
         'force_STEP': 0,  # SQISTEP specific
+        'force_Brent': 10,  # SQISTEP specific
         'split_at_pred': True,  # SQISTEP specific
         'posik_SQI': False,  # SQISTEP specific
         'disp': False,
@@ -330,7 +332,7 @@ def usage(err=2):
     bbob_experiment = None
 
     try:
-        opts, args = getopt.getopt(sys.argv[1:], "b:d:e:f:g:hi:nNopPr:s:I:t:v", ["help"])
+        opts, args = getopt.getopt(sys.argv[1:], "b:B:d:e:f:g:hi:nNopPr:s:I:t:v", ["help"])
     except getopt.GetoptError as err:
         # print help information and exit:
         print(err)  # will print something like "option -a not recognized"
@@ -361,6 +363,8 @@ def usage(err=2):
             options['egreedy'] = float(a)
         elif o == "-b":
             options['burnin'] = int(a)
+        elif o == "-B":
+            options['force_Brent'] = int(a)
         elif o == "-d":
             options['dim'] = int(a)
         elif o == "-i":