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https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13073351#comment-13073351
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Gilles commented on MATH-621:
-----------------------------
{quote}
BOBYQAOptimizer - the actual version I use myself - all "pointers" are replaced
by Java arrays. This version is much easier to read and faster than the old
one.
{quote}
:( It's a pity that you didn't mention this version earlier; I already spent
quite a few hours replacing the "ScopedPtr" variables. Only a few of them
remains in my working version: namely, those that are created as offsets in "w"
before calling "trsbox", "rescue", "altmov" and "update".
Since I also made a few other changes along the way, I don't feel like starting
all (almost) over again...
Hence, I'll continue with my incremental changes; but, at some point, I could
use some help to convert the state machine code into proper function calls.
IMO, we should first arrive at a clearer code before worrying about performance
(the more so that, as you pointed out, this algorithm will probably be put to
use when function evaluation is expensive, overwhelming the optimizer's code
running time).
The refactoring from efficient Fortran to (very probably less efficient) Java
is a big effort but it's indispensable: If it were not to become understandable
and maintainable, I don't see the point in including it in CM; you could just
provide the straight translation in a JAR file and people would use it as a
black box.
> 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, bobyqa.zip,
> 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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