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From "Nigel Goodwin (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-621) BOBYQA is missing in optimization
Date Tue, 30 Aug 2011 12:41:37 GMT

    [ https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13093686#comment-13093686
] 

Nigel Goodwin commented on MATH-621:
------------------------------------

I'm new to this group (but not to optimization) and I have been trying out BOBYQA. Some of
the issues which have arisen are:

- yes, I want the Java source code as part of commons - maths, source code is why I use Apache.
- there is no trapping of max evaluations exception TooManyEvaluationsException line 833
- I am struggling with starting points, and this may be an issue with the original algorithm.
If a starting poin is given with a value between lower bound and lower bound + trust region,
the value is evaluated at lower bound + trust region. But if the starting point is at lower
bound, it is evaluated at lower bound. This is important for me because I am using a good
starting point from a GA method, so I want that exact starting point to be used in the initial
derivative calculations.

I am using a GA based method, followed by CMAES and/or BOBYQA. I generally find BOBYQA better
than CMAES, but not so much if the function does not have smooth derivatives.

BTW, I find CMAES not good at all with bounds, and it looks like CMAES java code is not using
the latest thinking.

> 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
>
>         Attachments: BOBYQA.math.patch, BOBYQA.v02.math.patch, BOBYQAOptimizer.java.patch,
BOBYQAOptimizer0.4.zip, bobyqa.zip, bobyqa_convert.pl, bobyqaoptimizer0.4.zip, bobyqav0.3.zip
>
>   Original Estimate: 8h
>  Remaining Estimate: 8h
>
> 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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