import Optim const maxdegree = 2 const actualMaxsize = maxsize + maxdegree # Sum of square error between two arrays function SSE(x::Array{Float32}, y::Array{Float32})::Float32 diff = (x - y) return sum(diff .* diff) end # Mean of square error between two arrays function MSE(x::Array{Float32}, y::Array{Float32})::Float32 return SSE(x, y)/size(x)[1] end const len = size(X)[1] const avgy = sum(y)/len const baselineSSE = SSE(y, convert(Array{Float32, 1}, ones(len) .* avgy)) id = (x,) -> x const nuna = size(unaops)[1] const nbin = size(binops)[1] const nops = nuna + nbin const nvar = size(X)[2]; function debug(verbosity, string...) verbosity > 0 ? println(string...) : nothing end function getTime()::Int32 return round(Int32, 1e3*(time()-1.6e9)) end # Define a serialization format for the symbolic equations: mutable struct Node #Holds operators, variables, constants in a tree degree::Integer #0 for constant/variable, 1 for cos/sin, 2 for +/* etc. val::Union{Float32, Integer} #Either const value, or enumerates variable constant::Bool #false if variable op::Function #enumerates operator (for degree=1,2) l::Union{Node, Nothing} r::Union{Node, Nothing} Node(val::Float32) = new(0, val, true, id, nothing, nothing) Node(val::Integer) = new(0, val, false, id, nothing, nothing) Node(op, l::Node) = new(1, 0.0f0, false, op, l, nothing) Node(op, l::Union{Float32, Integer}) = new(1, 0.0f0, false, op, Node(l), nothing) Node(op, l::Node, r::Node) = new(2, 0.0f0, false, op, l, r) #Allow to pass the leaf value without additional node call: Node(op, l::Union{Float32, Integer}, r::Node) = new(2, 0.0f0, false, op, Node(l), r) Node(op, l::Node, r::Union{Float32, Integer}) = new(2, 0.0f0, false, op, l, Node(r)) Node(op, l::Union{Float32, Integer}, r::Union{Float32, Integer}) = new(2, 0.0f0, false, op, Node(l), Node(r)) end # Copy an equation (faster than deepcopy) function copyNode(tree::Node)::Node if tree.degree == 0 return Node(tree.val) elseif tree.degree == 1 return Node(tree.op, copyNode(tree.l)) else return Node(tree.op, copyNode(tree.l), copyNode(tree.r)) end end # Evaluate a symbolic equation: function evalTree(tree::Node, x::Array{Float32, 1}=Float32[])::Float32 if tree.degree == 0 if tree.constant return tree.val else return x[tree.val] end elseif tree.degree == 1 return tree.op(evalTree(tree.l, x)) else return tree.op(evalTree(tree.l, x), evalTree(tree.r, x)) end end # Count the operators, constants, variables in an equation function countNodes(tree::Node)::Integer if tree.degree == 0 return 1 elseif tree.degree == 1 return 1 + countNodes(tree.l) else return 1 + countNodes(tree.l) + countNodes(tree.r) end end # Convert an equation to a string function stringTree(tree::Node)::String if tree.degree == 0 if tree.constant return string(tree.val) else return "x$(tree.val - 1)" end elseif tree.degree == 1 return "$(tree.op)($(stringTree(tree.l)))" else return "$(tree.op)($(stringTree(tree.l)), $(stringTree(tree.r)))" end end # Print an equation function printTree(tree::Node) println(stringTree(tree)) end # Return a random node from the tree function randomNode(tree::Node)::Node if tree.degree == 0 return tree end a = countNodes(tree) b = 0 c = 0 if tree.degree >= 1 b = countNodes(tree.l) end if tree.degree == 2 c = countNodes(tree.r) end i = rand(1:1+b+c) if i <= b return randomNode(tree.l) elseif i == b + 1 return tree end return randomNode(tree.r) end # Count the number of unary operators in the equation function countUnaryOperators(tree::Node)::Integer if tree.degree == 0 return 0 elseif tree.degree == 1 return 1 + countUnaryOperators(tree.l) else return 0 + countUnaryOperators(tree.l) + countUnaryOperators(tree.r) end end # Count the number of binary operators in the equation function countBinaryOperators(tree::Node)::Integer if tree.degree == 0 return 0 elseif tree.degree == 1 return 0 + countBinaryOperators(tree.l) else return 1 + countBinaryOperators(tree.l) + countBinaryOperators(tree.r) end end # Count the number of operators in the equation function countOperators(tree::Node)::Integer return countUnaryOperators(tree) + countBinaryOperators(tree) end # Randomly convert an operator into another one (binary->binary; # unary->unary) function mutateOperator(tree::Node)::Node if countOperators(tree) == 0 return tree end node = randomNode(tree) while node.degree == 0 node = randomNode(tree) end if node.degree == 1 node.op = unaops[rand(1:length(unaops))] else node.op = binops[rand(1:length(binops))] end return tree end # Count the number of constants in an equation function countConstants(tree::Node)::Integer if tree.degree == 0 return convert(Integer, tree.constant) elseif tree.degree == 1 return 0 + countConstants(tree.l) else return 0 + countConstants(tree.l) + countConstants(tree.r) end end # Randomly perturb a constant function mutateConstant( tree::Node, T::Float32, probNegate::Float32=0.01f0)::Node # T is between 0 and 1. if countConstants(tree) == 0 return tree end node = randomNode(tree) while node.degree != 0 || node.constant == false node = randomNode(tree) end bottom = 0.1f0 maxChange = perturbationFactor * T + 1.0f0 + bottom factor = maxChange^Float32(rand()) makeConstBigger = rand() > 0.5 if makeConstBigger node.val *= factor else node.val /= factor end if rand() > probNegate node.val *= -1 end return tree end # Evaluate an equation over an array of datapoints function evalTreeArray(tree::Node)::Array{Float32, 1} if tree.degree == 0 if tree.constant return ones(Float32, len) .* tree.val else return ones(Float32, len) .* X[:, tree.val] end elseif tree.degree == 1 return tree.op.(evalTreeArray(tree.l)) else return tree.op.(evalTreeArray(tree.l), evalTreeArray(tree.r)) end end # Score an equation function scoreFunc(tree::Node)::Float32 try return SSE(evalTreeArray(tree), y)/baselineSSE + countNodes(tree)*parsimony catch error if isa(error, DomainError) return 1f9 else throw(error) end end end # Add a random unary/binary operation to the end of a tree function appendRandomOp(tree::Node)::Node node = randomNode(tree) while node.degree != 0 node = randomNode(tree) end choice = rand() makeNewBinOp = choice < nbin/nops if rand() > 0.5 left = Float32(randn()) else left = rand(1:nvar) end if rand() > 0.5 right = Float32(randn()) else right = rand(1:nvar) end if makeNewBinOp newnode = Node( binops[rand(1:length(binops))], left, right ) else newnode = Node( unaops[rand(1:length(unaops))], left ) end node.l = newnode.l node.r = newnode.r node.op = newnode.op node.degree = newnode.degree node.val = newnode.val node.constant = newnode.constant return tree end # Add random node to the top of a tree function popRandomOp(tree::Node)::Node node = tree choice = rand() makeNewBinOp = choice < nbin/nops left = tree if makeNewBinOp right = randomConstantNode() newnode = Node( binops[rand(1:length(binops))], left, right ) else newnode = Node( unaops[rand(1:length(unaops))], left ) end node.l = newnode.l node.r = newnode.r node.op = newnode.op node.degree = newnode.degree node.val = newnode.val node.constant = newnode.constant return node end # Insert random node function insertRandomOp(tree::Node)::Node node = randomNode(tree) choice = rand() makeNewBinOp = choice < nbin/nops left = copyNode(node) if makeNewBinOp right = randomConstantNode() newnode = Node( binops[rand(1:length(binops))], left, right ) else newnode = Node( unaops[rand(1:length(unaops))], left ) end node.l = newnode.l node.r = newnode.r node.op = newnode.op node.degree = newnode.degree node.val = newnode.val node.constant = newnode.constant return tree end function randomConstantNode()::Node if rand() > 0.5 val = Float32(randn()) else val = rand(1:nvar) end newnode = Node(val) return newnode end # Return a random node from the tree with parent function randomNodeAndParent(tree::Node, parent::Union{Node, Nothing})::Tuple{Node, Union{Node, Nothing}} if tree.degree == 0 return tree, parent end a = countNodes(tree) b = 0 c = 0 if tree.degree >= 1 b = countNodes(tree.l) end if tree.degree == 2 c = countNodes(tree.r) end i = rand(1:1+b+c) if i <= b return randomNodeAndParent(tree.l, tree) elseif i == b + 1 return tree, parent end return randomNodeAndParent(tree.r, tree) end # Select a random node, and replace it an the subtree # with a variable or constant function deleteRandomOp(tree::Node)::Node node, parent = randomNodeAndParent(tree, nothing) isroot = (parent == nothing) if node.degree == 0 # Replace with new constant newnode = randomConstantNode() node.l = newnode.l node.r = newnode.r node.op = newnode.op node.degree = newnode.degree node.val = newnode.val node.constant = newnode.constant elseif node.degree == 1 # Join one of the children with the parent if isroot return node.l elseif parent.l == node parent.l = node.l else parent.r = node.l end else # Join one of the children with the parent if rand() < 0.5 if isroot return node.l elseif parent.l == node parent.l = node.l else parent.r = node.l end else if isroot return node.r elseif parent.l == node parent.l = node.r else parent.r = node.r end end end return tree end # Simplify tree function combineOperators(tree::Node)::Node # (const (+*) const) already accounted for # ((const + var) + const) => (const + var) # ((const * var) * const) => (const * var) # (anything commutative!) if tree.degree == 2 && (tree.op == plus || tree.op == mult) op = tree.op if tree.l.constant || tree.r.constant # Put the constant in r if tree.l.constant tmp = tree.r tree.r = tree.l tree.l = tmp end topconstant = tree.r.val # Simplify down first tree.l = combineOperators(tree.l) below = tree.l if below.degree == 2 && below.op == op if below.l.constant tree = below tree.l.val = op(tree.l.val, topconstant) elseif below.r.constant tree = below tree.r.val = op(tree.r.val, topconstant) end end end end return tree end # Simplify tree function simplifyTree(tree::Node)::Node if tree.degree == 1 tree.l = simplifyTree(tree.l) if tree.l.degree == 0 && tree.l.constant return Node(tree.op(tree.l.val)) end elseif tree.degree == 2 tree.r = simplifyTree(tree.r) tree.l = simplifyTree(tree.l) constantsBelow = ( tree.l.degree == 0 && tree.l.constant && tree.r.degree == 0 && tree.r.constant ) if constantsBelow return Node(tree.op(tree.l.val, tree.r.val)) end end return tree end # Go through one simulated annealing mutation cycle # exp(-delta/T) defines probability of accepting a change function iterate(tree::Node, T::Float32)::Node prev = tree tree = copyNode(tree) mutationChoice = rand() weightAdjustmentMutateConstant = min(8, countConstants(tree))/8.0 cur_weights = copy(mutationWeights) .* 1.0 cur_weights[1] *= weightAdjustmentMutateConstant cur_weights /= sum(cur_weights) cweights = cumsum(cur_weights) n = countNodes(tree) if mutationChoice < cweights[1] tree = mutateConstant(tree, T) elseif mutationChoice < cweights[2] tree = mutateOperator(tree) elseif mutationChoice < cweights[3] && n < maxsize tree = appendRandomOp(tree) elseif mutationChoice < cweights[4] && n < maxsize tree = insertRandomOp(tree) elseif mutationChoice < cweights[5] tree = deleteRandomOp(tree) elseif mutationChoice < cweights[6] tree = simplifyTree(tree) # Sometimes we simplify tree tree = combineOperators(tree) # See if repeated constants at outer levels return tree elseif mutationChoice < cweights[7] tree = genRandomTree(5) # Sometimes we simplify tree else return tree end if annealing beforeLoss = scoreFunc(prev) afterLoss = scoreFunc(tree) delta = afterLoss - beforeLoss probChange = exp(-delta/(T*alpha)) if isnan(afterLoss) || probChange < rand() return copyNode(prev) end end return tree end # Create a random equation by appending random operators function genRandomTree(length::Integer)::Node tree = Node(1.0f0) for i=1:length tree = appendRandomOp(tree) end return tree end # Define a member of population by equation, score, and age mutable struct PopMember tree::Node score::Float32 birth::Int32 PopMember(t::Node) = new(t, scoreFunc(t), getTime()) PopMember(t::Node, score::Float32) = new(t, score, getTime()) end # A list of members of the population, with easy constructors, # which allow for random generation of new populations mutable struct Population members::Array{PopMember, 1} n::Integer Population(pop::Array{PopMember, 1}) = new(pop, size(pop)[1]) Population(npop::Integer) = new([PopMember(genRandomTree(3)) for i=1:npop], npop) Population(npop::Integer, nlength::Integer) = new([PopMember(genRandomTree(nlength)) for i=1:npop], npop) end # Sample 10 random members of the population, and make a new one function samplePop(pop::Population)::Population idx = rand(1:pop.n, ns) return Population(pop.members[idx]) end # Sample the population, and get the best member from that sample function bestOfSample(pop::Population)::PopMember sample = samplePop(pop) best_idx = argmin([sample.members[member].score for member=1:sample.n]) return sample.members[best_idx] end # Return best 10 examples function bestSubPop(pop::Population; topn::Integer=10)::Population best_idx = sortperm([pop.members[member].score for member=1:pop.n]) return Population(pop.members[best_idx[1:topn]]) end # Mutate the best sampled member of the population function iterateSample(pop::Population, T::Float32)::PopMember allstar = bestOfSample(pop) new = iterate(allstar.tree, T) allstar.tree = new allstar.score = scoreFunc(new) allstar.birth = getTime() return allstar end # Pass through the population several times, replacing the oldest # with the fittest of a small subsample function regEvolCycle(pop::Population, T::Float32)::Population for i=1:round(Integer, pop.n/ns) baby = iterateSample(pop, T) #printTree(baby.tree) oldest = argmin([pop.members[member].birth for member=1:pop.n]) pop.members[oldest] = baby end return pop end # Cycle through regularized evolution many times, # printing the fittest equation every 10% through function run( pop::Population, ncycles::Integer; verbosity::Integer=0 )::Population allT = LinRange(1.0f0, 0.0f0, ncycles) for iT in 1:size(allT)[1] if annealing pop = regEvolCycle(pop, allT[iT]) else pop = regEvolCycle(pop, 1.0f0) end if verbosity > 0 && (iT % verbosity == 0) bestPops = bestSubPop(pop) bestCurScoreIdx = argmin([bestPops.members[member].score for member=1:bestPops.n]) bestCurScore = bestPops.members[bestCurScoreIdx].score debug(verbosity, bestCurScore, " is the score for ", stringTree(bestPops.members[bestCurScoreIdx].tree)) end end return pop end # Get all the constants from a tree function getConstants(tree::Node)::Array{Float32, 1} if tree.degree == 0 if tree.constant return [tree.val] else return Float32[] end elseif tree.degree == 1 return getConstants(tree.l) else both = [getConstants(tree.l), getConstants(tree.r)] return [constant for subtree in both for constant in subtree] end end # Set all the constants inside a tree function setConstants(tree::Node, constants::Array{Float32, 1}) if tree.degree == 0 if tree.constant tree.val = constants[1] end elseif tree.degree == 1 setConstants(tree.l, constants) else numberLeft = countConstants(tree.l) setConstants(tree.l, constants) setConstants(tree.r, constants[numberLeft+1:end]) end end # Proxy function for optimization function optFunc(x::Array{Float32, 1}, tree::Node)::Float32 setConstants(tree, x) return scoreFunc(tree) end # Use Nelder-Mead to optimize the constants in an equation function optimizeConstants(member::PopMember)::PopMember nconst = countConstants(member.tree) if nconst == 0 return member end x0 = getConstants(member.tree) f(x::Array{Float32,1})::Float32 = optFunc(x, member.tree) if size(x0)[1] == 1 algorithm = Optim.Newton else algorithm = Optim.NelderMead end try result = Optim.optimize(f, x0, algorithm(), Optim.Options(iterations=100)) # Try other initial conditions: for i=1:nrestarts tmpresult = Optim.optimize(f, x0 .* (1f0 .+ 5f-1*randn(Float32, size(x0)[1])), algorithm(), Optim.Options(iterations=100)) if tmpresult.minimum < result.minimum result = tmpresult end end if Optim.converged(result) setConstants(member.tree, result.minimizer) member.score = convert(Float32, result.minimum) member.birth = getTime() else setConstants(member.tree, x0) end catch error # Fine if optimization encountered domain error, just return x0 if isa(error, AssertionError) setConstants(member.tree, x0) else throw(error) end end return member end # List of the best members seen all time mutable struct HallOfFame members::Array{PopMember, 1} exists::Array{Bool, 1} #Whether it has been set # Arranged by complexity - store one at each. HallOfFame() = new([PopMember(Node(1f0), 1f9) for i=1:actualMaxsize], [false for i=1:actualMaxsize]) end function fullRun(niterations::Integer; npop::Integer=300, ncyclesperiteration::Integer=3000, fractionReplaced::Float32=0.1f0, verbosity::Integer=0, topn::Integer=10 ) debug(verbosity, "Running with $nthreads threads") # Generate random initial populations allPops = [Population(npop, 3) for j=1:nthreads] bestSubPops = [Population(1) for j=1:nthreads] # Repeat this many evolutions; we collect and migrate the best # each time. hallOfFame = HallOfFame() for k=1:niterations # Spawn threads to run indepdent evolutions, then gather them @inbounds Threads.@threads for i=1:nthreads allPops[i] = run(allPops[i], ncyclesperiteration, verbosity=verbosity) for j=1:allPops[i].n if rand() < 0.1 allPops[i].members[j].tree = simplifyTree(allPops[i].members[j].tree) allPops[i].members[j].tree = combineOperators(allPops[i].members[j].tree) if shouldOptimizeConstants allPops[i].members[j] = optimizeConstants(allPops[i].members[j]) end end end bestSubPops[i] = bestSubPop(allPops[i], topn=topn) end # Get best 10 models from each evolution. Copy because we re-assign later. # bestPops = deepcopy(Population([member for pop in allPops for member in bestSubPop(pop).members])) bestPops = deepcopy(Population([member for pop in bestSubPops for member in pop.members])) #Update hall of fame for pop in allPops for member in pop.members size = countNodes(member.tree) if member.score < hallOfFame.members[size].score hallOfFame.members[size] = deepcopy(member) hallOfFame.exists[size] = true end end end # Dominating pareto curve - must be better than all simpler equations dominating = PopMember[] open(hofFile, "w") do io debug(verbosity, "Hall of Fame:") debug(verbosity, "-----------------------------------------") debug(verbosity, "Complexity \t MSE \t Equation") println(io,"Complexity|MSE|Equation") for size=1:actualMaxsize if hallOfFame.exists[size] member = hallOfFame.members[size] curMSE = MSE(evalTreeArray(member.tree), y) numberSmallerAndBetter = sum([curMSE > MSE(evalTreeArray(hallOfFame.members[i].tree), y) for i=1:(size-1)]) betterThanAllSmaller = (numberSmallerAndBetter == 0) if betterThanAllSmaller debug(verbosity, "$size \t $(curMSE) \t $(stringTree(member.tree))") println(io, "$size|$(curMSE)|$(stringTree(member.tree))") push!(dominating, member) end end end debug(verbosity, "") end # Migration if migration for j=1:nthreads for k in rand(1:npop, round(Integer, npop*fractionReplaced)) # Copy in case one gets used twice allPops[j].members[k] = deepcopy(bestPops.members[rand(1:size(bestPops.members)[1])]) end end end # Hall of fame migration if hofMigration && size(dominating)[1] > 0 for j=1:nthreads for k in rand(1:npop, round(Integer, npop*fractionReplacedHof)) # Copy in case one gets used twice allPops[j].members[k] = deepcopy(dominating[rand(1:size(dominating)[1])]) end end end end end