On the implementation of a global optimization method for mixed-variable problems
We describe the optimization algorithm implemented in the open-source derivative-free solver RBFOpt. The algorithm is based on the radial basis function method of Gutmann and the metric stochastic response surface method of Regis and Shoemaker. We propose several modifications aimed at generalizing...
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| Format: | Article |
| Language: | English |
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Université de Montpellier
2021-02-01
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| Series: | Open Journal of Mathematical Optimization |
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| Online Access: | https://ojmo.centre-mersenne.org/articles/10.5802/ojmo.3/ |
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| author | Nannicini, Giacomo |
| author_facet | Nannicini, Giacomo |
| author_sort | Nannicini, Giacomo |
| collection | DOAJ |
| description | We describe the optimization algorithm implemented in the open-source derivative-free solver RBFOpt. The algorithm is based on the radial basis function method of Gutmann and the metric stochastic response surface method of Regis and Shoemaker. We propose several modifications aimed at generalizing and improving these two algorithms: (i) the use of an extended space to represent categorical variables in unary encoding; (ii) a refinement phase to locally improve a candidate solution; (iii) interpolation models without the unisolvence condition, to both help deal with categorical variables, and initiate the optimization before a uniquely determined model is possible; (iv) a master-worker framework to allow asynchronous objective function evaluations in parallel. Numerical experiments show the effectiveness of these ideas. |
| format | Article |
| id | doaj-art-09255a0074574108b859601cbb98412e |
| institution | Kabale University |
| issn | 2777-5860 |
| language | English |
| publishDate | 2021-02-01 |
| publisher | Université de Montpellier |
| record_format | Article |
| series | Open Journal of Mathematical Optimization |
| spelling | doaj-art-09255a0074574108b859601cbb98412e2025-02-07T14:02:30ZengUniversité de MontpellierOpen Journal of Mathematical Optimization2777-58602021-02-01212510.5802/ojmo.310.5802/ojmo.3On the implementation of a global optimization method for mixed-variable problemsNannicini, Giacomo0IBM Quantum, IBM T.J. Watson research center Yorktown Heights, NY, USAWe describe the optimization algorithm implemented in the open-source derivative-free solver RBFOpt. The algorithm is based on the radial basis function method of Gutmann and the metric stochastic response surface method of Regis and Shoemaker. We propose several modifications aimed at generalizing and improving these two algorithms: (i) the use of an extended space to represent categorical variables in unary encoding; (ii) a refinement phase to locally improve a candidate solution; (iii) interpolation models without the unisolvence condition, to both help deal with categorical variables, and initiate the optimization before a uniquely determined model is possible; (iv) a master-worker framework to allow asynchronous objective function evaluations in parallel. Numerical experiments show the effectiveness of these ideas.https://ojmo.centre-mersenne.org/articles/10.5802/ojmo.3/Derivative-free optimizationblack-box optimizationmixed-variable problems |
| spellingShingle | Nannicini, Giacomo On the implementation of a global optimization method for mixed-variable problems Open Journal of Mathematical Optimization Derivative-free optimization black-box optimization mixed-variable problems |
| title | On the implementation of a global optimization method for mixed-variable problems |
| title_full | On the implementation of a global optimization method for mixed-variable problems |
| title_fullStr | On the implementation of a global optimization method for mixed-variable problems |
| title_full_unstemmed | On the implementation of a global optimization method for mixed-variable problems |
| title_short | On the implementation of a global optimization method for mixed-variable problems |
| title_sort | on the implementation of a global optimization method for mixed variable problems |
| topic | Derivative-free optimization black-box optimization mixed-variable problems |
| url | https://ojmo.centre-mersenne.org/articles/10.5802/ojmo.3/ |
| work_keys_str_mv | AT nannicinigiacomo ontheimplementationofaglobaloptimizationmethodformixedvariableproblems |