[MATH-874] New API for optimizers

• Type: Improvement
• Status: Resolved
• Priority: Minor
• Resolution: Fixed
• Affects Version/s: 3.0
• Fix Version/s: 4.0
• Labels: api-change
• Assignee: Unassigned
• Reporter: Gilles Sadowski
• Created: 07/Oct/12 17:55
• Updated: 29/May/16 23:22
• Resolved: 29/May/16 23:22

Description

I suggest to change the signatures of the "optimize" methods in

• UnivariateOptimizer
• MultivariateOptimizer
• MultivariateDifferentiableOptimizer
• MultivariateDifferentiableVectorOptimizer
• BaseMultivariateSimpleBoundsOptimizer

Currently, the arguments are

• the allowed number of evaluations of the objective function
• the objective function
• the type of optimization (minimize or maximize)
• the initial guess
• optionally, the lower and upper bounds

A marker interface:

public interface OptimizationData {}

would in effect be implemented by all input data so that the signature would become (for MultivariateOptimizer):

public PointValuePair optimize(MultivariateFunction f,
                               OptimizationData... optData);

A thread was started on the "dev" ML.
Initially, this proposal aimed at avoiding to call some optimizer-specific methods. An example is the "setSimplex" method in "o.a.c.m.optimization.direct.SimplexOptimizer": it must be called before the call to "optimize". Not only this departs form the common API, but the definition of the simplex also fixes the dimension of the problem; hence it would be more natural to pass it together with the other parameters (i.e. in "optimize") that are also dimension-dependent (initial guess, bounds).

Eventually, the API will be simpler: users will

1. construct an optimizer (passing dimension-independent parameters at construction),
2. call "optimize" (passing any dimension-dependent parameters).

Issue Links

• is blocked by: MATH-911 Remove usage of "DerivativeStructure" in the "optimization" package
• is superceded by: MATH-926 Refactor the "o.a.c.m.optim" package
• relates to: MATH-872 "inputSigma" specification in "CMAESOptimizer"