Burton Patkau created MATH-1394:
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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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