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From "Gilles (JIRA)" <j...@apache.org>
Subject [jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization
Date Wed, 17 Nov 2010 11:43:13 GMT

    [ https://issues.apache.org/jira/browse/MATH-442?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12932913#action_12932913
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Gilles commented on MATH-442:
-----------------------------

[Replying to the comment before last.]

In the Javadoc of the {{SimplexOptimizer}}, the word "direct" refers to this paper:
  http://cm.bell-labs.com/cm/cs/doc/96/4-02.ps.gz

If the meaning is not clear, maybe the packages should be renamed (?).
In fact, I've always wondered why methods that need derivatives would be considered more "general"
than those that don't :).

> CMA evolution strategy is missing in optimization
> -------------------------------------------------
>
>                 Key: MATH-442
>                 URL: https://issues.apache.org/jira/browse/MATH-442
>             Project: Commons Math
>          Issue Type: New Feature
>    Affects Versions: 3.0
>            Reporter: Dr. Dietmar Wolz
>   Original Estimate: 48h
>  Remaining Estimate: 48h
>
> Recently I implemented the optimization algorithm CMA-ES based on org.apache.commons.math.linear
and used it for the GTOC5 global trajectory optimization contest http://gtoc5.math.msu.su/.
It implements the MultivariateRealOptimizer interface and would nicely fit into the org.apache.commons.math.optimization
package. The original author of CMA-ES (Nikolaus Hansen) volunteered to support me (proof-reading
+ testing) in the creation of a CMA-ES contribution for commons.math. 
> The CMA evolution strategy http://www.lri.fr/~hansen/cmaesintro.html is a very powerful
algorithm for difficult non-linear non-convex optimization problems in continuous domain.
See http://www.lri.fr/~hansen/cec2005.html for a comparison chart. If there is interest I
will create a patch including the proposed Implementation for evaluation. It seems we would
need an additional sub-package - org.apache.commons.math.optimization.evolutionary.

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