fix latex in LESSON
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LESSON.md
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LESSON.md
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Metaheuristics (IA-308)
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Metaheuristics (IA-308)
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=======================
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=======================
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Compile as PDF: `pandoc -f markdown --toc -o LESSON.pdf LESSON.md`.
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Introduction
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Introduction
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------------
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------------
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Metaheuristics are mathematical optimization algorithms solving `$\argmin_{x \in X} f(x)$` (or argmax).
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Metaheuristics are mathematical optimization algorithms solving $argmin_{x \in X} f(x)$ (or argmax).
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Synonyms:
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Synonyms:
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- search heuristics,
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- search heuristics,
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- evolutionary algorithms,
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- evolutionary algorithms,
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- stochastic local search.
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- stochastic local search.
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@ -53,11 +56,13 @@ Way to model a solution: encoding.
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### Main models
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### Main models
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Encoding:
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Encoding:
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- continuous (s. numeric),
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- continuous (s. numeric),
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- discrete metric (integers),
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- discrete metric (integers),
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- combinatorial (graph, permutation).
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- combinatorial (graph, permutation).
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Fitness:
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Fitness:
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- mono-objective,
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- mono-objective,
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- multi-modal,
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- multi-modal,
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- multi-objectives.
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- multi-objectives.
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@ -77,11 +82,13 @@ Performance evaluation
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### What is performance
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### What is performance
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Main performances axis:
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Main performances axis:
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- time,
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- time,
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- quality,
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- quality,
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- probability.
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- probability.
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Additional performance axis:
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Additional performance axis:
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- robustness,
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- robustness,
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- stability.
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- stability.
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@ -95,6 +102,7 @@ Proof-reality gap is huge, thus empirical performance evaluation is gold standar
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Empirical evaluation = scientific method.
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Empirical evaluation = scientific method.
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Basic rules of thumb:
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Basic rules of thumb:
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- randomized algorithms => repetition of runs,
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- randomized algorithms => repetition of runs,
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- sensitivity to parameters => design of experiments,
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- sensitivity to parameters => design of experiments,
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- use statistical tools,
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- use statistical tools,
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@ -103,11 +111,13 @@ Basic rules of thumb:
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### Useful statistical tools
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### Useful statistical tools
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Statistical tests.
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Statistical tests:
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- classical null hypothesis: test equality of distributions.
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- classical null hypothesis: test equality of distributions.
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- beware of p-value.
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- beware of p-value.
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How many runs?
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How many runs?
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- not always "as many as possible",
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- not always "as many as possible",
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- maybe "as many as needed",
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- maybe "as many as needed",
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- generally: 15 (min for non-parametric tests) -- 20 (min for parametric-gaussian tests).
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- generally: 15 (min for non-parametric tests) -- 20 (min for parametric-gaussian tests).
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@ -118,12 +128,14 @@ Use robust estimators: median instead of mean, Inter Quartile Range instead of s
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### Expected Empirical Cumulative Distribution Functions
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### Expected Empirical Cumulative Distribution Functions
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On Run Time: ERT-ECDF.
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On Run Time: ERT-ECDF.
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```
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$ERTECDF(\{X_0,\dots,X_i,\dots,X_r\}, \delta, f, t) := \#\{x_t \in X_t | f(x_t^*)>=\delta \}$
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$$ERTECDF(\{X_0,\dots,X_i,\dots,X_r\}, \delta, f, t) := \#\{x_t \in X_t | f(x_t^*)>=\delta \}$$
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$\delta \in [0, max_{x \in \mathcal{X}}(f(x))]$
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$X_i := \{\{ x_0^0, \dots, x_i^j, \dots, x_p^u | p\in[1,\infty[ \} | u \in [0,\infty[ \} \in \mathcal{X}$
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$$\delta \in \left[0, \max_{x \in \mathcal{X}}(f(x))\right]$$
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```
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with $p$ the sample size, $r$ the number of runs, $u$ the nubmer of iterations, $t$ the number of calls to the objective
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$$X_i := \left\{\left\{ x_0^0, \dots, x_i^j, \dots, x_p^u | p\in[1,\infty[ \right\} | u \in [0,\infty[ \right\} \in \mathcal{X}$$
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with $p$ the sample size, $r$ the number of runs, $u$ the number of iterations, $t$ the number of calls to the objective
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function.
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function.
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The number of calls to the objective function is a good estimator of time because it dominates all other times.
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The number of calls to the objective function is a good estimator of time because it dominates all other times.
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@ -136,6 +148,7 @@ The dual of the ERT-ECDF can be easily computed for quality (EQT-ECDF).
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### Other tools
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### Other tools
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Convergence curves: do not forget the golden rule and show distributions:
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Convergence curves: do not forget the golden rule and show distributions:
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- quantile boxes,
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- quantile boxes,
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- violin plots,
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- violin plots,
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- histograms.
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- histograms.
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@ -146,11 +159,13 @@ Algorithm Design
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### Neighborhood
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### Neighborhood
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Convergence definition(s).
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Convergence definition(s):
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- strong,
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- strong,
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- weak.
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- weak.
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Neighborhood: subset of solutions atteinable after an atomic transformation:
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Neighborhood: subset of solutions atteinable after an atomic transformation:
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- ergodicity,
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- ergodicity,
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- quasi-ergodicity.
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- quasi-ergodicity.
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@ -158,17 +173,20 @@ Neighborhood: subset of solutions atteinable after an atomic transformation:
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### Structure of problem/algorithms
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### Structure of problem/algorithms
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Structure of problems to exploit:
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Structure of problems to exploit:
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- locality (basin of attraction),
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- locality (basin of attraction),
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- separability,
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- separability,
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- gradient,
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- gradient,
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- funnels.
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- funnels.
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Structure with which to capture those structures:
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Structure with which to capture those structures:
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- implicit,
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- implicit,
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- explicit,
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- explicit,
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- direct.
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- direct.
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Silver rule: choose the algorithmic template that adhere the most to the problem model.
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Silver rule: choose the algorithmic template that adhere the most to the problem model.
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- taking constraints into account,
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- taking constraints into account,
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- iterate between problem/algorithm models.
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- iterate between problem/algorithm models.
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@ -188,12 +206,19 @@ Most generic way of thinking about algorithms: grammar-based algorithm selection
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Example: modular CMA-ES.
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Example: modular CMA-ES.
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Parameter setting tools:
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Parameter setting tools:
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- ParamILS,
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- ParamILS,
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- SPO,
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- SPO,
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- i-race.
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- i-race.
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Design tools:
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Design tools:
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- ParadisEO.
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- ParadisEO,
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- jMetal,
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- Jenetics,
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- ECJ,
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- DEAP,
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- HeuristicLab.
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### Landscape-aware algorithms
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### Landscape-aware algorithms
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