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From "Dr. Dietmar Wolz (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-621) BOBYQA is missing in optimization
Date Sun, 21 Aug 2011 08:57:27 GMT

    [ https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13088330#comment-13088330
] 

Dr. Dietmar Wolz commented on MATH-621:
---------------------------------------

Problems with acurracy after refactoring are common with bobyqa. I always monitored also the
number of function evaluations for each unit test. It is nontrivial to estimate which change
is tolerable and which not. But if we plan further refactorings like a more extensive use
of the CM matrix methods, we have to accept that we modify also the behaviour of the algorithm
and have to adapt the tests. People who prefer the original can use the attachments here.





> 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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