Random search (#1071)

example/naive_monte_carlo_example.cpp

@@ -52,6 +52,7 @@ void display_progress(double progress,
 
 int main()
 {
+    using std::abs;
     double exact = 1.3932039296856768591842462603255;
     double A = 1.0 / boost::math::pow<3>(boost::math::constants::pi<double>());
     auto g = [&](std::vector<double> const & x)

example/random_search_example.cpp

@@ -0,0 +1,79 @@
+/*
+ * Copyright Nick Thompson, 2024
+ * Use, modification and distribution are subject to the
+ * Boost Software License, Version 1.0. (See accompanying file
+ * LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
+ */
+#if __APPLE__ || __linux__
+#include <signal.h>
+#include <stdlib.h>
+#include <stdio.h>
+#include <future>
+#include <chrono>
+#include <iostream>
+#include <boost/math/constants/constants.hpp>
+#include <boost/math/optimization/random_search.hpp>
+
+using boost::math::optimization::random_search_parameters;
+using boost::math::optimization::random_search;
+using namespace std::chrono_literals;
+
+template <class Real> Real rastrigin(std::vector<Real> const &v) {
+  using std::cos;
+  using boost::math::constants::two_pi;
+  Real A = 10;
+  Real y = 10 * v.size();
+  for (auto x : v) {
+    y += x * x - A * cos(two_pi<Real>() * x);
+  }
+  return y;
+}
+
+std::atomic<bool> cancel = false;
+
+void ctrl_c_handler(int){
+    cancel = true;
+    std::cout << "Cancellation requested-this could take a second . . ." << std::endl;
+}
+
+int main() {
+  std::cout << "Running random search on Rastrigin function (global minimum = (0,0,...,0))\n";
+  signal(SIGINT, ctrl_c_handler);
+  using ArgType = std::vector<double>;
+  auto params = random_search_parameters<ArgType>();
+  params.lower_bounds.resize(3, -5.12);
+  params.upper_bounds.resize(3, 5.12);
+  params.max_function_calls = 100000000;
+  // Leave one thread available to respond to ctrl-C:
+  params.threads = std::thread::hardware_concurrency() - 1;
+  std::random_device rd;
+  std::mt19937_64 gen(rd());
+
+  // By definition, the value of the function which a target value is provided must be <= target_value.
+  double target_value = 1e-3;
+  std::atomic<double> current_minimum_cost;
+  std::cout << "Hit ctrl-C to gracefully terminate the optimization." << std::endl;
+  auto f = [&]() {
+    return random_search(rastrigin<double>, params, gen, target_value, &cancel, &current_minimum_cost);
+  };
+  auto future = std::async(std::launch::async, f);
+  std::future_status status = future.wait_for(3ms);
+  while (!cancel && (status != std::future_status::ready)) {
+    status = future.wait_for(3ms);
+    std::cout << "Current cost is " << current_minimum_cost << "\r";
+  }
+
+  auto local_minima = future.get();
+  std::cout << "Local minimum is {";
+  for (size_t i = 0; i < local_minima.size() - 1; ++i) {
+    std::cout << local_minima[i] << ", ";
+  }
+  std::cout << local_minima.back() << "}.\n";
+  std::cout << "Final cost: " << current_minimum_cost << "\n";
+}
+#else
+#warning "Signal handling for the random search example only works on Linux and Mac."
+int main() {
+    return 0;
+}
+#endif