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  1. Commons Math
  2. MATH-1394

Implementation of DIRECT global optimizer

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    • Type: New Feature
    • Status: Open
    • Priority: Major
    • Resolution: Unresolved
    • Affects Version/s: 3.5, 3.6
    • Fix Version/s: 4.X
    • Labels:
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      Description

      An open source implementation of the DIRECT global optimizer, described by Jones, Perttunen and Stuckmann, implementing math3.optim.nonlinear.scalar.MultivariateOptimizer, is available as DIRECTOptimizer.java at https://github.com/edwardkort/WWIDesigner/tree/optimizer/WWIDesigner/src/main/com/wwidesigner/math. There are also three variants of the algorithm on that page: DIRECT_L_Optimizer implements DIRECT-L by Gablonsky and Kelley, DIRECT1Optimizer changes which sides are chosen for dividing, and DIRECTCOptimizer adds alternative ways to select potentially-optimal hyperrectangles.

      DIRECT is not as fast as BOBYQA, but is better at finding a global minimum in a field of many local minima.

      JUnit tests for all of these, using standard optimizer test functions, are available in https://github.com/edwardkort/WWIDesigner/tree/optimizer/WWIDesigner/src/test/com/wwidesigner/math.

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            • Assignee:
              Unassigned
              Reporter:
              burton Kevin A. Burton
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              • Created:
                Updated: