Merge branch 'master' into improve_doc

README.md

 limbo [![Build Status](https://travis-ci.org/resibots/limbo.svg?branch=master)](https://travis-ci.org/resibots/limbo)
 =====
 
-A lightweight framework for Bayesian and model-based optimisation of black-box functions (C++11).
+A lightweight framework for Bayesian and model-based optimization of black-box functions (C++11).
 
 Documentation
 -------------
@@ -17,7 +17,7 @@ Authors
 
 Main features
 -------------
-- Bayesian optimisation based on Gaussian processes
+- Bayesian optimization based on Gaussian processes
 - Generic framework (template-based), which allows easy customization for testing original ideas
 - Can exploit multicore computers
 - Experimental support for some multi-objective algorithms

docs/api.rst

@@ -114,7 +114,7 @@ Template
       size_t dim_in() const { return _model.dim_in(); }
       size_t dim_out() const { return _model.dim_out(); }
       template <typename AggregatorFunction>
-      double operator()(const Eigen::VectorXd& v, const AggregatorFunction& afun) const
+      limbo::opt::eval_t operator()(const Eigen::VectorXd& v, const AggregatorFunction& afun, bool gradient) const
       {
         // code
       }

docs/tutorials/advanced_example.rst

@@ -13,6 +13,7 @@ Let's say we have a planar 6-DOF arm manipulator and we want its end-effector to
 - The forward kinematic model as prior knowledge (mean of Gaussian Process).
 - The **Squared exponential covariance function with automatic relevance detection** as the kernel function of the GP.
 - Likelihood optimization for the hyperparameters of the GP kernel.
+- Use Expected Improvement as the acquisition function.
 - Use different optimizer for the acquisition optimization.
 - Initialize the GP with random samples.
 - Custom stopping criterion.
@@ -161,7 +162,7 @@ Acquisition, Initialization and other aliases
 
 **Acquisition aliases:** ::
 
-  using acqui_t = acqui::UCB<Params, gp_t>;
+  using acqui_t = acqui::EI<Params, gp_t>;
   using acqui_opt_t = opt::Cmaes<Params>;
 
 **Initialization alias:** ::
@@ -208,14 +209,36 @@ Finally, from the root of limbo, run a build command, with the additional switch
 
 Then, an executable named ``arm_example`` should be produced under the folder ``build/exp/arm_example``. When running the experiment, you should expect something like the following: ::
 
- 0 new point:   0.105457   0.984803   0.999724   0.397681 0.00178646   0.472922 value: -2.05529 best:-0.50564
- 1 new point: 0.0418376  0.211166  0.610741   0.97042   0.49975  0.932997 value: -0.420461 best:-0.420461
- 2 new point: 0.0499932  0.809128  0.647616  0.607996   0.98363  0.263471 value: -1.47844 best:-0.420461
- 3 new point: 0.926947 0.304285 0.962505 0.923134 0.340676 0.352674 value: -1.77912 best:-0.420461
- 4 new point:    0.139309  0.00337038   0.0725873     0.98806     0.52506 0.000522096 value: -0.000876567 best:-0.000876567
- New target!
- 5 new point: 0.0632575  0.981795  0.347888  0.342065   0.51396  0.785025 value: -1.26196 best:-0.50006
- 6 new point:  0.455737  0.978531   0.55947 0.0435089 0.0143673  0.999978 value: -0.0113502 best:-0.0113502
+  0 new point:  0.99374 0.999401 0.999716 0.532902 0.999337 0.648682 value: -0.73579 best:-0.73579
+  1 new point: 0.00924137    0.52356   0.992816   0.591639   0.900581 0.00022477 value: -1.59172 best:-0.73579
+  2 new point:  0.999114  0.303668 0.0132791  0.792124  0.391522  0.999149 value: -3.00304 best:-0.73579
+  3 new point: 0.990481 0.981046 0.379883 0.999432 0.282599 0.291695 value: -0.824245 best:-0.73579
+  4 new point: 0.00771956   0.949676   0.956241  0.0293142   0.244216  0.0891216 value: -2.68335 best:-0.73579
+  5 new point:   0.972554 0.00021536   0.998559      0.808   0.346161 0.00134114 value: -3.7039 best:-0.73579
+  6 new point: 0.00275069   0.495195 0.00167023   0.994612   0.631628   0.707545 value: -1.97244 best:-0.73579
+  7 new point:  0.124159  0.262741  0.303586  0.999707  0.335987 0.0192833 value: -1.28697 best:-0.73579
+  8 new point:  0.026011  0.307255  0.101375 0.0195426  0.562741 0.0400001 value: -2.31361 best:-0.73579
+  9 new point:    0.153818  0.00117556 9.92801e-05    0.376417     0.18015  0.00215051 value: -1.00521 best:-0.73579
+  10 new point:  0.107636  0.710152   0.41314 0.0703153  0.646439  0.606494 value: -0.685661 best:-0.685661
+  11 new point: 0.282632 0.794559 0.940368 0.530688 0.113832 0.439228 value: -1.44821 best:-0.685661
+  12 new point: 0.0110291  0.266178  0.576008  0.425873  0.120849  0.444479 value: -1.38147 best:-0.685661
+  13 new point:  0.109448 0.0548453  0.458707  0.487198  0.739701  0.588758 value: -0.147514 best:-0.147514
+  14 new point: 0.0877909 0.0481023  0.837642  0.438223  0.387531  0.649942 value: -0.150097 best:-0.147514
+  15 new point: 0.111047 0.633206 0.509962 0.443725 0.359951 0.243446 value: -0.780535 best:-0.147514
+  16 new point:  0.0827364   0.186448   0.333666   0.839036   0.536232 0.00476438 value: -0.575265 best:-0.147514
+  17 new point:   0.123347 0.00377535   0.554967   0.103699   0.371233   0.233517 value: -0.00982979 best:-0.00982979
+  New target!
+  18 new point:    0.998604    0.984174    0.999353 0.000200245    0.356422    0.999792 value: -1.38941 best:-0.370924
+  19 new point: 0.0189988  0.999921  0.942007  0.665937  0.999451  0.986427 value: -3.16331 best:-0.370924
+  20 new point: 0.0688255  0.230665 0.0273747  0.270297  0.980095  0.990872 value: -2.89225 best:-0.370924
+  21 new point: 0.997416 0.857708 0.998912 0.984197 0.391337 0.114332 value: -0.883913 best:-0.370924
+  22 new point:    0.999982 0.000168928    0.999398    0.336817    0.258304    0.929625 value: -1.19557 best:-0.370924
+  23 new point: 0.0700344  0.281842  0.919103 0.0183289  0.074567  0.970264 value: -4.17297 best:-0.370924
+  24 new point: 7.78708e-05 2.18076e-06    0.983852     0.99996    0.825274    0.612332 value: -2.57724 best:-0.370924
+  25 new point: 0.000101799    0.997473    0.797134    0.994634    0.377403 3.70205e-05 value: -2.33882 best:-0.370924
+  26 new point: 0.0467502  0.327915  0.235275  0.966877 0.0363554  0.909477 value: -3.49153 best:-0.370924
+  27 new point:    0.999615 0.000340133    0.637717    0.994796  0.00143888    0.464556 value: -2.75311 best:-0.370924
+  28 new point:   0.998958 0.00509838   0.474495   0.667517   0.532318   0.520064 value: -0.038073 best:-0.038073
 
 
 Using state-based bayesian optimization, we can transfer what we learned during one task to achieve faster new tasks.

src/benchmarks/bayesopt/hp_opt.cpp

@@ -2,32 +2,32 @@
 //| This project has received funding from the European Research Council (ERC) under
 //| the European Union's Horizon 2020 research and innovation programme (grant
 //| agreement No 637972) - see http://www.resibots.eu
-//| 
+//|
 //| Contributor(s):
 //|   - Jean-Baptiste Mouret (jean-baptiste.mouret@inria.fr)
 //|   - Antoine Cully (antoinecully@gmail.com)
 //|   - Kontantinos Chatzilygeroudis (konstantinos.chatzilygeroudis@inria.fr)
 //|   - Federico Allocati (fede.allocati@gmail.com)
 //|   - Vaios Papaspyros (b.papaspyros@gmail.com)
-//| 
+//|
 //| This software is a computer library whose purpose is to optimize continuous,
 //| black-box functions. It mainly implements Gaussian processes and Bayesian
 //| optimization.
 //| Main repository: http://github.com/resibots/limbo
 //| Documentation: http://www.resibots.eu/limbo
-//| 
+//|
 //| This software is governed by the CeCILL-C license under French law and
 //| abiding by the rules of distribution of free software.  You can  use,
 //| modify and/ or redistribute the software under the terms of the CeCILL-C
 //| license as circulated by CEA, CNRS and INRIA at the following URL
 //| "http://www.cecill.info".
-//| 
+//|
 //| As a counterpart to the access to the source code and  rights to copy,
 //| modify and redistribute granted by the license, users are provided only
 //| with a limited warranty  and the software's author,  the holder of the
 //| economic rights,  and the successive licensors  have only  limited
 //| liability.
-//| 
+//|
 //| In this respect, the user's attention is drawn to the risks associated
 //| with loading,  using,  modifying and/or developing or reproducing the
 //| software by the user in light of its specific status of free software,
@@ -38,10 +38,10 @@
 //| requirements in conditions enabling the security of their systems and/or
 //| data to be ensured and,  more generally, to use and operate it in the
 //| same conditions as regards security.
-//| 
+//|
 //| The fact that you are presently reading this means that you have had
 //| knowledge of the CeCILL-C license and that you accept its terms.
-//| 
+//|
 #define SKIP_TRICKS
 #include "testfunctions.hpp"
 #include <chrono>

src/benchmarks/bayesopt/simple.cpp

@@ -2,32 +2,32 @@
 //| This project has received funding from the European Research Council (ERC) under
 //| the European Union's Horizon 2020 research and innovation programme (grant
 //| agreement No 637972) - see http://www.resibots.eu
-//| 
+//|
 //| Contributor(s):
 //|   - Jean-Baptiste Mouret (jean-baptiste.mouret@inria.fr)
 //|   - Antoine Cully (antoinecully@gmail.com)
 //|   - Kontantinos Chatzilygeroudis (konstantinos.chatzilygeroudis@inria.fr)
 //|   - Federico Allocati (fede.allocati@gmail.com)
 //|   - Vaios Papaspyros (b.papaspyros@gmail.com)
-//| 
+//|
 //| This software is a computer library whose purpose is to optimize continuous,
 //| black-box functions. It mainly implements Gaussian processes and Bayesian
 //| optimization.
 //| Main repository: http://github.com/resibots/limbo
 //| Documentation: http://www.resibots.eu/limbo
-//| 
+//|
 //| This software is governed by the CeCILL-C license under French law and
 //| abiding by the rules of distribution of free software.  You can  use,
 //| modify and/ or redistribute the software under the terms of the CeCILL-C
 //| license as circulated by CEA, CNRS and INRIA at the following URL
 //| "http://www.cecill.info".
-//| 
+//|
 //| As a counterpart to the access to the source code and  rights to copy,
 //| modify and redistribute granted by the license, users are provided only
 //| with a limited warranty  and the software's author,  the holder of the
 //| economic rights,  and the successive licensors  have only  limited
 //| liability.
-//| 
+//|
 //| In this respect, the user's attention is drawn to the risks associated
 //| with loading,  using,  modifying and/or developing or reproducing the
 //| software by the user in light of its specific status of free software,
@@ -38,10 +38,10 @@
 //| requirements in conditions enabling the security of their systems and/or
 //| data to be ensured and,  more generally, to use and operate it in the
 //| same conditions as regards security.
-//| 
+//|
 //| The fact that you are presently reading this means that you have had
 //| knowledge of the CeCILL-C license and that you accept its terms.
-//| 
+//|
 #define SKIP_TRICKS
 #include "testfunctions.hpp"
 #include <chrono>

src/benchmarks/bayesopt/testfunctions.hpp

@@ -2,32 +2,32 @@
 //| This project has received funding from the European Research Council (ERC) under
 //| the European Union's Horizon 2020 research and innovation programme (grant
 //| agreement No 637972) - see http://www.resibots.eu
-//| 
+//|
 //| Contributor(s):
 //|   - Jean-Baptiste Mouret (jean-baptiste.mouret@inria.fr)
 //|   - Antoine Cully (antoinecully@gmail.com)
 //|   - Kontantinos Chatzilygeroudis (konstantinos.chatzilygeroudis@inria.fr)
 //|   - Federico Allocati (fede.allocati@gmail.com)
 //|   - Vaios Papaspyros (b.papaspyros@gmail.com)
-//| 
+//|
 //| This software is a computer library whose purpose is to optimize continuous,
 //| black-box functions. It mainly implements Gaussian processes and Bayesian
 //| optimization.
 //| Main repository: http://github.com/resibots/limbo
 //| Documentation: http://www.resibots.eu/limbo
-//| 
+//|
 //| This software is governed by the CeCILL-C license under French law and
 //| abiding by the rules of distribution of free software.  You can  use,
 //| modify and/ or redistribute the software under the terms of the CeCILL-C
 //| license as circulated by CEA, CNRS and INRIA at the following URL
 //| "http://www.cecill.info".
-//| 
+//|
 //| As a counterpart to the access to the source code and  rights to copy,
 //| modify and redistribute granted by the license, users are provided only
 //| with a limited warranty  and the software's author,  the holder of the
 //| economic rights,  and the successive licensors  have only  limited
 //| liability.
-//| 
+//|
 //| In this respect, the user's attention is drawn to the risks associated
 //| with loading,  using,  modifying and/or developing or reproducing the
 //| software by the user in light of its specific status of free software,
@@ -38,10 +38,10 @@
 //| requirements in conditions enabling the security of their systems and/or
 //| data to be ensured and,  more generally, to use and operate it in the
 //| same conditions as regards security.
-//| 
+//|
 //| The fact that you are presently reading this means that you have had
 //| knowledge of the CeCILL-C license and that you accept its terms.
-//| 
+//|
 #define _USE_MATH_DEFINES
 #include <cmath>
 #include <algorithm>

src/benchmarks/limbo/hp_opt.cpp

@@ -2,32 +2,32 @@
 //| This project has received funding from the European Research Council (ERC) under
 //| the European Union's Horizon 2020 research and innovation programme (grant
 //| agreement No 637972) - see http://www.resibots.eu
-//| 
+//|
 //| Contributor(s):
 //|   - Jean-Baptiste Mouret (jean-baptiste.mouret@inria.fr)
 //|   - Antoine Cully (antoinecully@gmail.com)
 //|   - Kontantinos Chatzilygeroudis (konstantinos.chatzilygeroudis@inria.fr)
 //|   - Federico Allocati (fede.allocati@gmail.com)
 //|   - Vaios Papaspyros (b.papaspyros@gmail.com)
-//| 
+//|
 //| This software is a computer library whose purpose is to optimize continuous,
 //| black-box functions. It mainly implements Gaussian processes and Bayesian
 //| optimization.
 //| Main repository: http://github.com/resibots/limbo
 //| Documentation: http://www.resibots.eu/limbo
-//| 
+//|
 //| This software is governed by the CeCILL-C license under French law and
 //| abiding by the rules of distribution of free software.  You can  use,
 //| modify and/ or redistribute the software under the terms of the CeCILL-C
 //| license as circulated by CEA, CNRS and INRIA at the following URL
 //| "http://www.cecill.info".
-//| 
+//|
 //| As a counterpart to the access to the source code and  rights to copy,
 //| modify and redistribute granted by the license, users are provided only
 //| with a limited warranty  and the software's author,  the holder of the
 //| economic rights,  and the successive licensors  have only  limited
 //| liability.
-//| 
+//|
 //| In this respect, the user's attention is drawn to the risks associated
 //| with loading,  using,  modifying and/or developing or reproducing the
 //| software by the user in light of its specific status of free software,
@@ -38,10 +38,10 @@
 //| requirements in conditions enabling the security of their systems and/or
 //| data to be ensured and,  more generally, to use and operate it in the
 //| same conditions as regards security.
-//| 
+//|
 //| The fact that you are presently reading this means that you have had
 //| knowledge of the CeCILL-C license and that you accept its terms.
-//| 
+//|
 #include <iostream>
 #include <chrono>
 

src/benchmarks/limbo/simple.cpp

@@ -2,32 +2,32 @@
 //| This project has received funding from the European Research Council (ERC) under
 //| the European Union's Horizon 2020 research and innovation programme (grant
 //| agreement No 637972) - see http://www.resibots.eu
-//| 
+//|
 //| Contributor(s):
 //|   - Jean-Baptiste Mouret (jean-baptiste.mouret@inria.fr)
 //|   - Antoine Cully (antoinecully@gmail.com)
 //|   - Kontantinos Chatzilygeroudis (konstantinos.chatzilygeroudis@inria.fr)
 //|   - Federico Allocati (fede.allocati@gmail.com)
 //|   - Vaios Papaspyros (b.papaspyros@gmail.com)
-//| 
+//|
 //| This software is a computer library whose purpose is to optimize continuous,
 //| black-box functions. It mainly implements Gaussian processes and Bayesian
 //| optimization.
 //| Main repository: http://github.com/resibots/limbo
 //| Documentation: http://www.resibots.eu/limbo
-//| 
+//|
 //| This software is governed by the CeCILL-C license under French law and
 //| abiding by the rules of distribution of free software.  You can  use,
 //| modify and/ or redistribute the software under the terms of the CeCILL-C
 //| license as circulated by CEA, CNRS and INRIA at the following URL
 //| "http://www.cecill.info".
-//| 
+//|
 //| As a counterpart to the access to the source code and  rights to copy,
 //| modify and redistribute granted by the license, users are provided only
 //| with a limited warranty  and the software's author,  the holder of the
 //| economic rights,  and the successive licensors  have only  limited
 //| liability.
-//| 
+//|
 //| In this respect, the user's attention is drawn to the risks associated
 //| with loading,  using,  modifying and/or developing or reproducing the
 //| software by the user in light of its specific status of free software,
@@ -38,10 +38,10 @@
 //| requirements in conditions enabling the security of their systems and/or
 //| data to be ensured and,  more generally, to use and operate it in the
 //| same conditions as regards security.
-//| 
+//|
 //| The fact that you are presently reading this means that you have had
 //| knowledge of the CeCILL-C license and that you accept its terms.
-//| 
+//|
 #include <iostream>
 #include <chrono>
 

src/benchmarks/limbo/testfunctions.hpp

@@ -2,32 +2,32 @@
 //| This project has received funding from the European Research Council (ERC) under
 //| the European Union's Horizon 2020 research and innovation programme (grant
 //| agreement No 637972) - see http://www.resibots.eu
-//| 
+//|
 //| Contributor(s):
 //|   - Jean-Baptiste Mouret (jean-baptiste.mouret@inria.fr)
 //|   - Antoine Cully (antoinecully@gmail.com)
 //|   - Kontantinos Chatzilygeroudis (konstantinos.chatzilygeroudis@inria.fr)
 //|   - Federico Allocati (fede.allocati@gmail.com)
 //|   - Vaios Papaspyros (b.papaspyros@gmail.com)
-//| 
+//|
 //| This software is a computer library whose purpose is to optimize continuous,
 //| black-box functions. It mainly implements Gaussian processes and Bayesian
 //| optimization.
 //| Main repository: http://github.com/resibots/limbo
 //| Documentation: http://www.resibots.eu/limbo
-//| 
+//|
 //| This software is governed by the CeCILL-C license under French law and
 //| abiding by the rules of distribution of free software.  You can  use,
 //| modify and/ or redistribute the software under the terms of the CeCILL-C
 //| license as circulated by CEA, CNRS and INRIA at the following URL
 //| "http://www.cecill.info".
-//| 
+//|
 //| As a counterpart to the access to the source code and  rights to copy,
 //| modify and redistribute granted by the license, users are provided only
 //| with a limited warranty  and the software's author,  the holder of the
 //| economic rights,  and the successive licensors  have only  limited
 //| liability.
-//| 
+//|
 //| In this respect, the user's attention is drawn to the risks associated
 //| with loading,  using,  modifying and/or developing or reproducing the
 //| software by the user in light of its specific status of free software,
@@ -38,10 +38,10 @@
 //| requirements in conditions enabling the security of their systems and/or
 //| data to be ensured and,  more generally, to use and operate it in the
 //| same conditions as regards security.
-//| 
+//|
 //| The fact that you are presently reading this means that you have had
 //| knowledge of the CeCILL-C license and that you accept its terms.
-//| 
+//|
 #define _USE_MATH_DEFINES
 #include <Eigen/Core>
 

src/examples/experimental/constrained_ei.cpp

+#include <limbo/limbo.hpp>
+
+#include <limbo/experimental/bayes_opt/cboptimizer.hpp>
+#include <limbo/experimental/acqui/cei.hpp>
+
+using namespace limbo;
+
+struct Params {
+    struct cbayes_opt_boptimizer : public defaults::cbayes_opt_boptimizer {
+        BO_PARAM(double, noise, 0.01);
+    };
+
+    struct init_randomsampling {
+        BO_PARAM(int, samples, 10);
+    };
+
+    struct kernel_exp : public defaults::kernel_exp {
+    };
+
+    struct bayes_opt_bobase {
+        BO_PARAM(bool, stats_enabled, true);
+    };
+
+    struct stop_maxiterations {
+        BO_PARAM(int, iterations, 100);
+    };
+
+    struct acqui_cei : public defaults::acqui_cei {
+    };
+
+    struct mean_constant {
+        BO_PARAM(double, constant, 1.0);
+    };
+
+#ifdef USE_NLOPT
+    struct opt_nloptnograd : public defaults::opt_nloptnograd {
+    };
+#elif defined(USE_LIBCMAES)
+    struct opt_cmaes : public defaults::opt_cmaes {
+    };
+#else
+    struct opt_gridsearch : public defaults::opt_gridsearch {
+    };
+#endif
+};
+
+struct cosine {
+    static constexpr size_t dim_in = 1;
+    static constexpr size_t dim_out = 1;
+    static constexpr size_t nb_constraints = 1;
+
+    Eigen::VectorXd operator()(const Eigen::VectorXd& x) const
+    {
+        Eigen::VectorXd res(2);
+        // we _maximize in [0:1]
+        Eigen::VectorXd xx = -4.0 + 8.0 * x.array();
+        res(0) = std::cos(xx.array()(0));
+
+        // testing the constraints
+        std::string feas = "infeasible";
+        res(1) = 0;
+        if (res(0) < 0.5) {
+            res(1) = 1;
+            feas = "feasible";
+        }
+        std::cout << xx(0) << ": " << res(0) << " --> " << feas << std::endl;
+        return res;
+    }
+};
+
+int main()
+{
+    tools::par::init();
+    typedef cosine func_t;
+
+    using Stop_t = boost::fusion::vector<stop::MaxIterations<Params>>;
+    using Stat_t = boost::fusion::vector<stat::Samples<Params>,
+        stat::BlSamples<Params>,
+        stat::BestObservations<Params>,
+        stat::AggregatedObservations<Params>>;
+    using Mean_t = mean::Constant<Params>;
+    using Kernel_t = kernel::Exp<Params>;
+    using GP_t = model::GP<Params, Kernel_t, Mean_t>;
+    using Constrained_GP_t = model::GP<Params, Kernel_t, Mean_t>;
+
+    using Acqui_t = experimental::acqui::CEI<Params, GP_t, Constrained_GP_t>;
+    using Init_t = init::RandomSampling<Params>;
+
+    experimental::bayes_opt::CBOptimizer<Params,
+        modelfun<GP_t>,
+        acquifun<Acqui_t>,
+        statsfun<Stat_t>,
+        initfun<Init_t>,
+        stopcrit<Stop_t>,
+        experimental::constraint_modelfun<Constrained_GP_t>>
+        opt;
+
+    opt.optimize(func_t());
+
+    size_t n = 0;
+    double best = -100;
+    for (size_t i = 0; i < opt.samples().size(); i++) {
+        Eigen::VectorXd res = func_t()(opt.samples()[i]);
+        if (res(0) > best && res(0) < 0.5)
+            best = res(0);
+        if (res(0) >= 0.5)
+            n++;
+    }
+    std::cout << "Infeasible points tested: " << n << std::endl;
+    std::cout << "Best feasible observation: " << best << std::endl;
+
+    return 0;
+}

src/examples/experimental/imgpo.cpp

@@ -2,32 +2,32 @@
 //| This project has received funding from the European Research Council (ERC) under
 //| the European Union's Horizon 2020 research and innovation programme (grant
 //| agreement No 637972) - see http://www.resibots.eu
-//| 
+//|
 //| Contributor(s):
 //|   - Jean-Baptiste Mouret (jean-baptiste.mouret@inria.fr)
 //|   - Antoine Cully (antoinecully@gmail.com)
 //|   - Kontantinos Chatzilygeroudis (konstantinos.chatzilygeroudis@inria.fr)
 //|   - Federico Allocati (fede.allocati@gmail.com)
 //|   - Vaios Papaspyros (b.papaspyros@gmail.com)
-//| 
+//|
 //| This software is a computer library whose purpose is to optimize continuous,
 //| black-box functions. It mainly implements Gaussian processes and Bayesian
 //| optimization.
 //| Main repository: http://github.com/resibots/limbo
 //| Documentation: http://www.resibots.eu/limbo
-//| 
+//|
 //| This software is governed by the CeCILL-C license under French law and
 //| abiding by the rules of distribution of free software.  You can  use,
 //| modify and/ or redistribute the software under the terms of the CeCILL-C
 //| license as circulated by CEA, CNRS and INRIA at the following URL
 //| "http://www.cecill.info".
-//| 
+//|
 //| As a counterpart to the access to the source code and  rights to copy,
 //| modify and redistribute granted by the license, users are provided only
 //| with a limited warranty  and the software's author,  the holder of the
 //| economic rights,  and the successive licensors  have only  limited
 //| liability.
-//| 
+//|
 //| In this respect, the user's attention is drawn to the risks associated
 //| with loading,  using,  modifying and/or developing or reproducing the
 //| software by the user in light of its specific status of free software,
@@ -38,10 +38,10 @@
 //| requirements in conditions enabling the security of their systems and/or
 //| data to be ensured and,  more generally, to use and operate it in the
 //| same conditions as regards security.
-//| 
+//|
 //| The fact that you are presently reading this means that you have had
 //| knowledge of the CeCILL-C license and that you accept its terms.
-//| 
+//|
 #include <cmath>
 #include <algorithm>
 #include <string>

src/examples/experimental/multi.cpp

@@ -2,32 +2,32 @@
 //| This project has received funding from the European Research Council (ERC) under
 //| the European Union's Horizon 2020 research and innovation programme (grant
 //| agreement No 637972) - see http://www.resibots.eu
-//| 
+//|
 //| Contributor(s):
 //|   - Jean-Baptiste Mouret (jean-baptiste.mouret@inria.fr)
 //|   - Antoine Cully (antoinecully@gmail.com)
 //|   - Kontantinos Chatzilygeroudis (konstantinos.chatzilygeroudis@inria.fr)
 //|   - Federico Allocati (fede.allocati@gmail.com)
 //|   - Vaios Papaspyros (b.papaspyros@gmail.com)
-//| 
+//|
 //| This software is a computer library whose purpose is to optimize continuous,
 //| black-box functions. It mainly implements Gaussian processes and Bayesian
 //| optimization.
 //| Main repository: http://github.com/resibots/limbo
 //| Documentation: http://www.resibots.eu/limbo
-//| 
+//|
 //| This software is governed by the CeCILL-C license under French law and
 //| abiding by the rules of distribution of free software.  You can  use,
 //| modify and/ or redistribute the software under the terms of the CeCILL-C
 //| license as circulated by CEA, CNRS and INRIA at the following URL
 //| "http://www.cecill.info".
-//| 
+//|
 //| As a counterpart to the access to the source code and  rights to copy,
 //| modify and redistribute granted by the license, users are provided only
 //| with a limited warranty  and the software's author,  the holder of the
 //| economic rights,  and the successive licensors  have only  limited
 //| liability.
-//| 
+//|
 //| In this respect, the user's attention is drawn to the risks associated
 //| with loading,  using,  modifying and/or developing or reproducing the
 //| software by the user in light of its specific status of free software,
@@ -38,15 +38,17 @@
 //| requirements in conditions enabling the security of their systems and/or
 //| data to be ensured and,  more generally, to use and operate it in the
 //| same conditions as regards security.
-//| 
+//|
 //| The fact that you are presently reading this means that you have had
 //| knowledge of the CeCILL-C license and that you accept its terms.
-//| 
+//|
 #include <limbo/limbo.hpp>
 #include <limbo/experimental/bayes_opt/parego.hpp>
 #include <limbo/experimental/bayes_opt/nsbo.hpp>
 #include <limbo/experimental/bayes_opt/ehvi.hpp>
+#include <limbo/experimental/stat/pareto_front.hpp>
 #include <limbo/experimental/stat/pareto_benchmark.hpp>
+#include <limbo/experimental/stat/hyper_volume.hpp>
 
 using namespace limbo;
 
@@ -76,12 +78,12 @@ struct Params {
     struct acqui_gpucb : public defaults::acqui_gpucb {
     };
 
-#ifdef USE_LIBCMAES
-    struct opt_cmaes : public defaults::opt_cmaes {
-    };
-#elif defined(USE_NLOPT)
+#ifdef USE_NLOPT