MQL's OOP notes: Particle Swarm Speeds Up Expert Adviser Optimization On The Fly

21 November 2016, 09:38
Stanislav Korotky
9
61
In 2 previous chapters we have studied a library for on the fly optimization of expert advisers (part1, part2). One of drawbacks of the library is its slow method of optimization, because it's nothing else than straightforward iteration over all possible combinations of parameters' values. It would be great to speed up the process somehow.

There is a number of methods of fast optimization. One of them is genetic optimization, which is used by the tester in MetaTrader. The other one is simulated annealing. And yet another one is particle swarm optimization. This method is relatively simple to implement. Let's code it in MQL.

The main idea of the method is to generate many particels and spread them over the space of EA parameters. Then the particles will move and adjust their velocity in the space according to EA performance calculated in corresponding points, and the process is repeated many times. You may see exact formulae and pseudo-code on the abovementioned reference page.

Particle Swarm Optimization Pseudo-Code

According to the algorithm every particle should have current position, velocity, and memory about its best position in past. The "best" means that EA demonstarted highest (known to the particle) performance at those position (parameter set). Let's put this in a class.

class Particle
{
  public:
    double position[];    // current point
    double best[];        // best point known to the particle
    double velocity[];    // current speed
    
    double positionValue; // EA performance in current point
    double bestValue;     // EA performance in the best point
    
    Particle(const int params)
    {
      ArrayResize(position, params);
      ArrayResize(best, params);
      ArrayResize(velocity, params);
      bestValue = -DBL_MAX;
    }
};

All arrays have size of parameter space dimension, that is the number of parameters being optimized. As far as our optimization implies that better performance is denoted by higher values we initialize bestValue with most minimal possible value -DBL_MAX. As you remember, EA performance can hold any of main trade performance indicators such as profit, profit factor, sharpe ratio and etc.

I made the member arrays and variables public for the sake of efficiency. Strict OO principles would require us to hide them in private part and provide methods-accessors, but this will also impose some performance overheads (and performance here means simply the code execution time). This deviation from the good OO style is possible as it's a small project where encapsulation and access control are not of so great importance. Please note that in other OOP languages there are means that would allow us to keep both efficiency and encapsulation. For example, Java respects access modifier for nested classes (MQL does not), so we could define Particle inside a container class with private modifier and then use particle's member variables directly inside the container yet hide them from other classes (hence prevent intentional or accidental data mangling). In C++ we could make the member variables private but declare other classes using particles as friends, and hence allow them to access the variables directly.    

In addition to single particles the algorithm utilizes so called topologies or subsets of particles. They can vary, but we will use topology which simulates social groups. The group of particles will hold knowledge about best known position among all particles in the group.

class Group
{
  private:
    double result;    // best EA performance in the group
  
  public:
    double optimum[]; // best known position in the group
    
    Group(const int params)
    {
      ArrayResize(optimum, params);
      ArrayInitialize(optimum, 0);
      result = -DBL_MAX;
    }
    
    void assign(const double x)
    {
      result = x;
    }
    
    double getResult() const
    {
      return result;
    }
    
    bool isAssigned()
    {
      return result != -DBL_MAX;
    }
};

Now we can start implementing the swarm algorithm itself. Of course, we pack it in a class.

class Swarm
{
  private:
    Particle *particles[];
    Group *groups[];
    int _size;             // number of particles
    int _globals;          // number of groups
    int _params;           // number of parameters to optimize

Here we have a swarm of particles and a set of groups.

For every parameter we need to set a range of values to probe and increment.

    double highs[];
    double lows[];
    double steps[];

In addition we want to save optimal parameter set somewhere.

    double solution[];

Finally we need an index array that would mark every particle as a member of specific social group.

    static int particle2group[];

The static array should be instantiated after the class definition.

static int Swarm::particle2group[];

As far as we will probably have several different constructors of the swarm, let's define a unified method for its initialization.

    void init(const int size, const int globals, const int params, const double &max[], const double &min[], const double &step[])
    {
      _size = size;
      _globals = globals;
      _params = params;

      ArrayResize(particles, size);
      for(int i = 0; i < size; i++)
      {
        particles[i] = new Particle(params);
      }
      
      ArrayResize(groups, globals);
      for(int i = 0; i < globals; i++)
      {
        groups[i] = new Group(params);
      }
      
      ArrayResize(particle2group, size);
      for(int i = 0; i < size; i++)
      {
        particle2group[i] = (int)MathMin(MathRand() * 1.0 / 32767 * globals, globals - 1);
      }
      
      ArrayResize(highs, params);
      ArrayResize(lows, params);
      ArrayResize(steps, params);
      for(int i = 0; i < params; i++)
      {
        highs[i] = max[i];
        lows[i] = min[i];
        steps[i] = step[i];
      }
      
      ArrayResize(solution, params);
    }

All arrays are resized to given dimensions and filled with provided data. Group membership is initialized randomly.

Now we're ready to implement a couple of constructors with the help of init.

  public:
    Swarm(const int params, const double &max[], const double &min[], const double &step[])
    {
      init(params * 5, (int)MathSqrt(params * 5), params, max, min, step);
    }
    
    Swarm(const int size, const int globals, const int params, const double &max[], const double &min[], const double &step[])
    {
      init(size, globals, params, max, min, step);
    }

The first one uses some empirical rules to deduce size of the swarm and number of the groups from the number of parameters. The second allows you to specify all values explicitly.

Desctructor should free up particles and groups created by constructors.

    ~Swarm()
    {
      for(int i = 0; i < _size; i++)
      {
        delete particles[i];
      }
      for(int i = 0; i < _globals; i++)
      {
        delete groups[i];
      }
    }

And this is the moment when the main method of the class should be coded - the method performing optimization itself.

    double optimize(Functor &f, const int cycles, const double inertia = 0.8, const double selfBoost = 0.4, const double groupBoost = 0.4)
    {

Let's skip the first parameter for a while. The second one is a number of cycles which the algorithm will run. The next 3 arguments are parameters of the swarm algorithm: inertia is a coefficient to preserve particle's velocity (usually fading out, as you see from the default value 0.8), selfBoost and groupBoost define how sensitive a particle will be to requests for changing its movement in direction to best known position of the particle and its group respectively.

Now back to the parameter Functor &f. As you can imagine, during the optimization process we're going to call EA for different parameter sets and get a scalar value as result (which can be profit, profit factor or any other characteristic). Generally speaking the algorithm should not know anything about our EA. Its task is optimization of an abstract function (objective function). For that puspose we need a way to call this function many times with selected parameters. The best suited approach here is an abstract interface (or a class with pure virtual method in MQL notation). Let's name it Functor.

class Functor
{
  public:
    virtual double calculate(const double &vector[]) = 0;
};

The method accepts an array with parameters and returns a single double value. In future we can implement a derived class in our EA, and perform virtual back-testing inside the method calculate.

So the first parameter of the method optimize will accept an object with the callback method calculate. Now when all parameters are described we can concentrate on the optimization algorithm.

First initialize result (objective function value) and coordinates in the parameter space.

      double result = -DBL_MAX;
      ArrayInitialize(solution, 0);

Second, initialize particles. Their positions and velocities are selected randomly, and then we call the functor for every particle and save best values into groups and global solution.

      for(int i = 0; i < _size; i++)     // loop through particles
      {
        for(int p = 0; p < _params; p++) // loop through all dimesions
        {
          // random placement
          particles[i].position[p] = (MathRand() * 1.0 / 32767) * (highs[p] - lows[p]) + lows[p];
          
          // the only position is the best so far
          particles[i].best[p] = particles[i].position[p];
          
          // random speed
          particles[i].velocity[p] = (MathRand() * 1.0 / 32767) * 2 * (highs[p] - lows[p]) - (highs[p] - lows[p]);
        }
        
        // get the function value in the point i
        particles[i].positionValue = f.calculate(particles[i].position);
        
        // update best value of the group (if improvement is found)
        if(!groups[particle2group[i]].isAssigned() || particles[i].positionValue > groups[particle2group[i]].getResult())
        {
          groups[particle2group[i]].assign(particles[i].positionValue);
          for(int p = 0; p < _params; p++)
          {
            groups[particle2group[i]].optimum[p] = particles[i].position[p];
          }
          
          // update global solution (if improvement is found)
          if(particles[i].positionValue > result) // global maximum
          {
            result = particles[i].positionValue;
            for(int p = 0; p < _params; p++)
            {
              solution[p] = particles[i].position[p];
            }
          }
        }
      }

Then we repeat the cycle of optimization (it looks a bit lengthy but reproduces the pseudo-code almost exactly):

      for(int c = 0; c < cycles && !IsStopped(); c++)   // predefined number of cycles
      {
        for(int i = 0; i < _size && !IsStopped(); i++)  // loop through all particles
        {
          for(int p = 0; p < _params; p++)              // update particle position and speed
          {
            double r1 = MathRand() * 1.0 / 32767;
            double rg = MathRand() * 1.0 / 32767;
            particles[i].velocity[p] = inertia * particles[i].velocity[p] + selfBoost * r1 * (particles[i].best[p] - particles[i].position[p]) + groupBoost * rg * (groups[particle2group[i]].optimum[p] - particles[i].position[p]);
            particles[i].position[p] = particles[i].position[p] + particles[i].velocity[p];
            
            // make sure to keep the particle inside the boundaries of parameter space
            if(particles[i].position[p] < lows[p]) particles[i].position[p] = lows[p];
            else if(particles[i].position[p] > highs[p]) particles[i].position[p] = highs[p];
          }

          // get the function value for the particle i
          particles[i].positionValue = f.calculate(particles[i].position);

          // update the particle's best value and position (if improvement is found)          
          if(particles[i].positionValue > particles[i].bestValue)
          {
            particles[i].bestValue = particles[i].positionValue;
            for(int p = 0; p < _params; p++)
            {
              particles[i].best[p] = particles[i].position[p];
            }
          }
    
          // update the group's best value and position (if improvement is found)          
          if(particles[i].positionValue > groups[particle2group[i]].getResult())
          {
            groups[particle2group[i]].assign(particles[i].positionValue);
            for(int p = 0; p < _params; p++)
            {
              groups[particle2group[i]].optimum[p] = particles[i].position[p];
            }
            
            // update the global maximum value and solution (if improvement is found)          
            if(particles[i].positionValue > result)
            {
              result = particles[i].positionValue;
              for(int p = 0; p < _params; p++)
              {
                solution[p] = particles[i].position[p];
              }
            }
          }
        }
      }

That's all. To finalize the method we should return the result.

      return result;
    }

To read found solution (parameter set) from outer world we need another method.

    bool getSolution(double &result[])
    {
      ArrayResize(result, _params);
      for(int p = 0; p < _params; p++)
      {
        result[p] = solution[p];
      }
      return !IsStopped();
    }

Is it really all? It's too simple to be true. ;-) Actually we have a problem here.

Our implementation of the swarm algorithm is currently close to classical implementation suitable for functions with continuous parameters. But EA parameters are usually granular. Normally, we can't afford MA with period 11.5. This is why in both places where we assign new values to particle's position, we need to utilize step sizes.

          // if step size is specified, make sure new position is aligned with the step granularity
          if(steps[p] != 0)
          {
            particles[i].position[p] = ((int)MathRound(particles[i].position[p] / steps[p])) * steps[p];
          }

This solves the problem only partially. The functor will be executed with proper parameters, but there is no guarantee that algorithm will not call it many times with the same values (due to the rounding by the step sizes). To prevent this we need to learn to identify somehow every set of values and skip repetitive calls.

Parameter sets are just numbers, or a sequence of bytes. The best known approach to verify uniqueness of a sequences of bytes is a hash. And one of most popular hash functions is CRC. CRC is a single number generated from provided data in such a way that its equality with same value generated for another data means that both sources match with almost 100% probability (exact number depends from the length of CRC). 64-bit CRC implementation can be easily ported to MQL from C. You may find the file crc64.mqh attached below. The worker function has the following prototype.

ulong crc64(ulong crc, const uchar &s[], int l);

It accepts CRC of a previous block of data (if any, can be 0 if only one block of data is processed; allows you to chain many blocks), the array of bytes to process and its length. The function returns 64-bit CRC.

How can we pass a parameter set into this function? Every parameter is a double number. To convert it to byte array we will use 3-rd party library TypeToBytes (the file TypeToBytes.mqh is attached at the bottom of the page).

Having this library included, we can write the following helper function to get CRC64 for an array of parameters:  

#include <TypeToBytes.mqh>
#include <crc64.mqh>

template<typename T>
ulong crc64(const T &array[])
{
  ulong crc = 0;
  int len = ArraySize(array);
  for(int i = 0; i < len; i++)
  {
    crc = crc64(crc, _R(array[i]).Bytes, sizeof(T));
  }
  return crc;
}

The next question is where to store the hashes and how to check them against every new parameter set generated by the swarm. The answer is binary tree. This is a data structure which provides very fast operations for adding new values and checking for existing ones. Actually the fastness relies on the tree property called balance. In other words the tree should be balanced to ensure the most possible quick operations. Fortunately, the fact that we'll store CRC hashes in the tree plays into our hands. Here is a short definition of a hash.

A hash function should, insofar possible, generate for any set of inputs, a set of outputs that is uniformly distributed over its output space.

As a result, adding hashes into the binary tree makes it balanced, and automatically most efficient.

The binary tree is basically a set of nodes, where each node contains a value and two optional links to other nodes, namely left and right. The value in the left node is always less than value in the parent's and value in the right node is always larger then the parent's. We start adding values from the root, and compare it with node value. If it's equal, the value is already in the tree and we have nothing to do except for returning some flag indicating the existance. If new value is less than current node value we move to the left node and continue process there in its subtree. If new value is larger, we go to the rigth subtree. In case corresponding subtree is missing (the poiner is null), the search is fininshed without result and new node should be added as this subtree with the new value.

To implement this logic we need 2 classes: the node and the tree. It makes sense to use templates for both.

template<typename T>
class TreeNode
{
  private:
    TreeNode *left;
    TreeNode *right;
    T value;

  public:
    TreeNode(T t)
    {
      value = t;
    }

    // adds new value into subtrees and returns false or
    // returns true if t exists as value of this node or in subtrees    
    bool Add(T t)
    {
      if(t < value)
      {
        if(left == NULL)
        {
          left = new TreeNode<T>(t);
          return false;
        }
        else
        {
          return left.Add(t);
        }
      }
      else if(t > value)
      {
        if(right == NULL)
        {
          right = new TreeNode<T>(t);
          return false;
        }
        else
        {
          return right.Add(t);
        }
      }
      return true;
    }
    
    ~TreeNode()
    {
      if(left != NULL) delete left;
      if(right != NULL) delete right;
    }
};
  
template<typename T>
class BinaryTree
{
  private:
    TreeNode<T> *root;
    
  public:
    bool Add(T t)
    {
      if(root == NULL)
      {
        root = new TreeNode<T>(t);
        return false;
      }
      else
      {
        return root.Add(t);
      }
    }
    
    ~BinaryTree()
    {
      if(root != NULL) delete root;
    }
};

I hope the algorithm is clear enough. Please note that deletion of root in the destructor will be automatically unwound to deletion of all subsidiary nodes. 

Now we can add the BinaryTree into the Swarm.

class Swarm
{
  private:
    BinaryTree<ulong> index;

In the method optimize we should elaborate those parts where we move particles to new positions.

      // ...
      
      double next[];
      ArrayResize(next, _params);

      for(int c = 0; c < cycles && !IsStopped(); c++)
      {
        for(int i = 0; i < _size && !IsStopped(); i++)
        {
          bool alreadyProcessed;
          
          // new placement of particles using temporary array next
          for(int p = 0; p < _params; p++)
          {
            double r1 = MathRand() * 1.0 / 32767;
            double rg = MathRand() * 1.0 / 32767;
            particles[i].velocity[p] = inertia * particles[i].velocity[p] + selfBoost * r1 * (particles[i].best[p] - particles[i].position[p]) + groupBoost * rg * (groups[particle2group[i]].optimum[p] - particles[i].position[p]);
            next[p] = particles[i].position[p] + particles[i].velocity[p];
            if(next[p] < lows[p]) next[p] = lows[p];
            else if(next[p] > highs[p]) next[p] = highs[p];
            if(steps[p] != 0)
            {
              next[p] = ((int)MathRound(next[p] / steps[p])) * steps[p];
            }
          }

          // check if the tree contains this parameter set and add it if not
          alreadyProcessed = index.Add(crc64(next));
          
          if(alreadyProcessed)
          {
            continue;
          }

          // apply new position to the particle
          for(int p = 0; p < _params; p++)
          {
            particles[i].position[p] = next[p];
          }
          
          particles[i].positionValue = f.calculate(particles[i].position);
          
          // ...

We added an auxiliary array next, where we save newly generated position and check it for uniqueness. If new position was not processed yet, we add it into the tree, copy to the particle's position and continue the procedure. If new position exists in the tree (hence has been already processed), we skip this iteration.

The complete source code is attached below (see ParticleSwarm.mqh). In addition to the implementation of the particle swarm optimization, the script testpso.mq4 containing test class is also provided. It allows us to make sure the optimization does actually work. It's written in OO style and can be extended with your own test cases.

There exist many popular test objective functions (or benchmarks), such as "rosenbrock", "griewank", "sphere", etc. For example, for the sphere we can define the functor's calculate method as follows.

      virtual double calculate(const double &vec[])
      {
        int dim = ArraySize(vec);
        double sum = 0;
        for(int i = 0; i < dim; i++) sum += pow(vec[i], 2);
        return -sum; // negative for maximization
      }

Please note, that conventional formulae of the test objective functions implies minimization, whereas we coded the algorithm for maximization (because we want maximal performance from EA). This is why you need to negate result in the calculation. This is important to remember if you decide to test our implementation on other popular objective functions. 

Finally, all is ready to embed the fast optimization algorithm into Optimystic library for on the fly optimization of EAs. But let us address this question in the next publication.

 

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Files:
crc64.mqh 11 kb
testpso.mq4 4 kb
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