Details
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New Feature
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Status: Open
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Major
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Resolution: Unresolved
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3.0
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None
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None
Description
During experiments with space flight trajectory optimizations I recently
observed, that the direct optimization algorithm BOBYQA
http://plato.asu.edu/ftp/other_software/bobyqa.zip
from Mike Powell is significantly better than the simple Powell algorithm
already in commons.math. It uses significantly lower function calls and is
more reliable for high dimensional problems. You can replace CMA-ES in many
more application cases by BOBYQA than by the simple Powell optimizer.
I would like to contribute a Java port of the algorithm.
I maintained the structure of the original FORTRAN code, so the
code is fast but not very nice.
License status: Michael Powell has sent the agreement via snail mail
- it hasn't arrived yet.
Progress: The attached patch relative to the trunk contains both the
optimizer and the related unit tests - which are all green now.
Performance:
Performance difference (number of function evaluations)
PowellOptimizer / BOBYQA for different test functions (taken from
the unit test of BOBYQA, dimension=13 for most of the
tests.
Rosen = 9350 / 1283
MinusElli = 118 / 59
Elli = 223 / 58
ElliRotated = 8626 / 1379
Cigar = 353 / 60
TwoAxes = 223 / 66
CigTab = 362 / 60
Sphere = 223 / 58
Tablet = 223 / 58
DiffPow = 421 / 928
SsDiffPow = 614 / 219
Ackley = 757 / 97
Rastrigin = 340 / 64
The number for DiffPow should be discussed with Michael Powell,
I will send him the details.
Open Problems
- Checkstyle violations[1] because of the original Fortran source:
- Original method comments were copied: Javadoc standard documentation should be added, but the original documentation should stay (as a reference to what the original intended behaviour was) untouched until we are sure that the code behaves as expected.
- Multiple variable declarations per line.
- "goto" conversions:
- "goto"s not convertible in loops were translated into a finite automaton (switch statement)
- "no default in switch"
- "fall through from previous case in switch"
- Unexplored code paths: "throw" statements have been introduced in the code. Each should be triggered by at least one unit test. They are currently commented out in provision of the 3.0 release (cf.
MATH-712) but should be re-enabled afterwards.
[1] Once the violations are solved, the following lines should be removed from the source file:
- // CHECKSTYLE: stop all
- //CHECKSTYLE: resume all
