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From "Dr. Dietmar Wolz (JIRA)" <j...@apache.org>
Subject [jira] [Created] (MATH-621) BOBYQA is missing in optimization
Date Fri, 15 Jul 2011 10:38:00 GMT
BOBYQA is missing in optimization
---------------------------------

                 Key: MATH-621
                 URL: https://issues.apache.org/jira/browse/MATH-621
             Project: Commons Math
          Issue Type: New Feature
    Affects Versions: 3.0
            Reporter: Dr. Dietmar Wolz
             Fix For: 3.0


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 dicussed with Michael Powell,
I will send him the details. 

Open Problems:

Some checkstyle violations because of the original Fortran source:

- Original method comments were copied - doesn't follow javadoc standard
- Multiple variable declarations in one line as in the original source
- Problems related to "goto" conversions:
  "gotos" not convertible in loops were transated into a finite automata (switch statement)
	"no default in switch"
	"fall through from previos case in switch"
	which usually are bad style make no sense here.

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