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From "Burton Patkau (JIRA)" <j...@apache.org>
Subject [jira] [Created] (MATH-1394) Implementation of DIRECT global optimizer
Date Wed, 16 Nov 2016 13:18:59 GMT
Burton Patkau created MATH-1394:
-----------------------------------

             Summary: Implementation of DIRECT global optimizer
                 Key: MATH-1394
                 URL: https://issues.apache.org/jira/browse/MATH-1394
             Project: Commons Math
          Issue Type: New Feature
    Affects Versions: 3.6, 3.5
            Reporter: Burton Patkau


An open source implementation of the DIRECT global optimizer, described by Jones, Perttunen
and Stuckmann, implementing math3.optim.nonlinear.scalar.MultivariateOptimizer, is available
as DIRECTOptimizer.java at https://github.com/edwardkort/WWIDesigner/tree/optimizer/WWIDesigner/src/main/com/wwidesigner/math.
 There are also three variants of the algorithm on that page: DIRECT_L_Optimizer implements
DIRECT-L by Gablonsky and Kelley, DIRECT1Optimizer changes which sides are chosen for dividing,
and DIRECTCOptimizer adds alternative ways to select potentially-optimal hyperrectangles.

DIRECT is not as fast as BOBYQA, but is better at finding a global minimum in a field of many
local minima.



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