fixed standard deviation and error estimates when scaling is enabled,…

… ref #129
CMA-ES · Mar 16, 2015 · a90e91c · a90e91c
1 parent 994a203
commit a90e91c
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Showing 2 changed files with 11 additions and 11 deletions.
diff --git a/src/cmasolutions.h b/src/cmasolutions.h
@@ -294,13 +294,16 @@ namespace libcmaes
     template<class TGenoPheno=GenoPheno<NoBoundStrategy>>
       inline dVec stds(const CMAParameters<TGenoPheno> &cmaparams) const
     {
+      dVec phen_xmean = cmaparams.get_gp().pheno(_xmean);
+      dVec stds;
       if (!cmaparams.is_sep() && !cmaparams.is_vd())
-	return cmaparams.get_gp().pheno(static_cast<dVec>(_cov.diagonal().cwiseSqrt()));
+	stds = _cov.diagonal().cwiseSqrt();
       else if (cmaparams.is_sep())
-	return cmaparams.get_gp().pheno(static_cast<dVec>(_sepcov.cwiseSqrt()));
+	stds = _sepcov.cwiseSqrt();
       else if (cmaparams.is_vd())
-	return cmaparams.get_gp().pheno(static_cast<dVec>((dVec::Constant(cmaparams.dim(),1.0)+_v.cwiseProduct(_v)).cwiseSqrt().cwiseProduct(_sepcov)));
-      return dVec(); // should never reach here.
+	stds = (dVec::Constant(cmaparams.dim(),1.0)+_v.cwiseProduct(_v)).cwiseSqrt().cwiseProduct(_sepcov);
+      dVec phen_xmean_std = cmaparams.get_gp().pheno(static_cast<dVec>(_xmean + stds));
+      return (phen_xmean_std - phen_xmean).cwiseAbs();
     }
 
     /**
@@ -311,13 +314,7 @@ namespace libcmaes
     template<class TGenoPheno=GenoPheno<NoBoundStrategy>>
       inline dVec errors(const CMAParameters<TGenoPheno> &cmaparams) const
       {
-	if (!cmaparams.is_sep() && !cmaparams.is_vd())
-	  return cmaparams.get_gp().pheno(static_cast<dVec>(std::sqrt(_sigma)*_cov.diagonal().cwiseSqrt()));
-	else if (cmaparams.is_sep())
-	  return cmaparams.get_gp().pheno(static_cast<dVec>(std::sqrt(_sigma)*_sepcov.cwiseSqrt()));
-	else if (cmaparams.is_vd())
-	  return cmaparams.get_gp().pheno(static_cast<dVec>(std::sqrt(_sigma)*(dVec::Constant(cmaparams.dim(),1.0)+_v.cwiseProduct(_v)).cwiseSqrt().cwiseProduct(_sepcov)));
-	return dVec(); // should never reach here.
+	return std::sqrt(_sigma)*stds(cmaparams);
       }
 
     /**

diff --git a/tests/test-functions.cc b/tests/test-functions.cc
@@ -486,6 +486,7 @@ DEFINE_bool(with_gradient,false,"whether to use the function gradient when avail
 DEFINE_bool(with_num_gradient,false,"whether to use numerical gradient injection");
 DEFINE_bool(with_edm,false,"whether to compute expected distance to minimum when optimization has completed");
 DEFINE_bool(with_stds,false,"whether to compute and print the standard deviation for every parameter");
+DEFINE_bool(with_errors,false,"whether to compute the errors");
 DEFINE_bool(with_corr,false,"whether to compute and print the correlation matrix (may not fit in memory in large-scale settings)");
 DEFINE_bool(mt,false,"whether to use parallel evaluation of objective function");
 DEFINE_bool(initial_fvalue,false,"whether to compute initial objective function value at x0");
@@ -632,6 +633,8 @@ CMASolutions cmaes_opt()
     LOG(INFO) << "EDM=" << cmasols.edm() << " / EDM/fm=" << cmasols.edm() / cmasols.best_candidate().get_fvalue() << std::endl;
   if (FLAGS_with_stds)
     std::cout << "stds=" << cmasols.stds(cmaparams).transpose() << std::endl;
+  if (FLAGS_with_errors)
+    std::cout << "errors=" << cmasols.errors(cmaparams).transpose() << std::endl;
   if (FLAGS_with_corr)
     std::cout << "correlation=" << cmasols.corr() << std::endl;
   return cmasols;