NLopt.jl

NLopt is Julia package interfacing to the free/open-source NLopt library which implements many optimization methods both global and local NLopt Documentation.

Installation: OptimizationNLopt.jl

To use this package, install the OptimizationNLopt package:

import Pkg;
Pkg.add("OptimizationNLopt");

Methods

NLopt.jl algorithms are chosen either via NLopt.Opt(:algname, nstates) where nstates is the number of states to be optimized, but preferably via NLopt.AlgorithmName() where `AlgorithmName can be one of the following:

  • NLopt.GN_DIRECT()
  • NLopt.GN_DIRECT_L()
  • NLopt.GN_DIRECT_L_RAND()
  • NLopt.GN_DIRECT_NOSCAL()
  • NLopt.GN_DIRECT_L_NOSCAL()
  • NLopt.GN_DIRECT_L_RAND_NOSCAL()
  • NLopt.GN_ORIG_DIRECT()
  • NLopt.GN_ORIG_DIRECT_L()
  • NLopt.GD_STOGO()
  • NLopt.GD_STOGO_RAND()
  • NLopt.LD_LBFGS_NOCEDAL()
  • NLopt.LD_LBFGS()
  • NLopt.LN_PRAXIS()
  • NLopt.LD_VAR1()
  • NLopt.LD_VAR2()
  • NLopt.LD_TNEWTON()
  • NLopt.LD_TNEWTON_RESTART()
  • NLopt.LD_TNEWTON_PRECOND()
  • NLopt.LD_TNEWTON_PRECOND_RESTART()
  • NLopt.GN_CRS2_LM()
  • NLopt.GN_MLSL()
  • NLopt.GD_MLSL()
  • NLopt.GN_MLSL_LDS()
  • NLopt.GD_MLSL_LDS()
  • NLopt.LD_MMA()
  • NLopt.LN_COBYLA()
  • NLopt.LN_NEWUOA()
  • NLopt.LN_NEWUOA_BOUND()
  • NLopt.LN_NELDERMEAD()
  • NLopt.LN_SBPLX()
  • NLopt.LN_AUGLAG()
  • NLopt.LD_AUGLAG()
  • NLopt.LN_AUGLAG_EQ()
  • NLopt.LD_AUGLAG_EQ()
  • NLopt.LN_BOBYQA()
  • NLopt.GN_ISRES()
  • NLopt.AUGLAG()
  • NLopt.AUGLAG_EQ()
  • NLopt.G_MLSL()
  • NLopt.G_MLSL_LDS()
  • NLopt.LD_SLSQP()
  • NLopt.LD_CCSAQ()
  • NLopt.GN_ESCH()
  • NLopt.GN_AGS()

See the NLopt Documentation for more details on each optimizer.

Beyond the common arguments, the following optimizer parameters can be set as kwargs:

  • stopval
  • xtol_rel
  • xtol_abs
  • constrtol_abs
  • initial_step
  • population
  • vector_storage

Local Optimizer

Derivative-Free

Derivative-free optimizers are optimizers that can be used even in cases where no derivatives or automatic differentiation is specified. While they tend to be less efficient than derivative-based optimizers, they can be easily applied to cases where defining derivatives is difficult. Note that while these methods do not support general constraints, all support bounds constraints via lb and ub in the OptimizationProblem.

NLopt derivative-free optimizers are:

  • NLopt.LN_PRAXIS()
  • NLopt.LN_COBYLA()
  • NLopt.LN_NEWUOA()
  • NLopt.LN_NEWUOA_BOUND()
  • NLopt.LN_NELDERMEAD()
  • NLopt.LN_SBPLX()
  • NLopt.LN_AUGLAG()
  • NLopt.LN_AUGLAG_EQ()
  • NLopt.LN_BOBYQA()

The Rosenbrock function can be optimized using the NLopt.LN_NELDERMEAD() as follows:

using Optimization
using OptimizationNLopt
rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
x0 = zeros(2)
p = [1.0, 100.0]
f = OptimizationFunction(rosenbrock)
prob = Optimization.OptimizationProblem(f, x0, p, lb = [-1.0, -1.0], ub = [1.0, 1.0])
sol = solve(prob, NLopt.LN_NELDERMEAD())
retcode: Success
u: 2-element Vector{Float64}:
 1.0
 1.0

Gradient-Based

Gradient-based optimizers are optimizers which utilize the gradient information based on derivatives defined or automatic differentiation.

NLopt gradient-based optimizers are:

  • NLopt.LD_LBFGS_NOCEDAL()
  • NLopt.LD_LBFGS()
  • NLopt.LD_VAR1()
  • NLopt.LD_VAR2()
  • NLopt.LD_TNEWTON()
  • NLopt.LD_TNEWTON_RESTART()
  • NLopt.LD_TNEWTON_PRECOND()
  • NLopt.LD_TNEWTON_PRECOND_RESTART()
  • NLopt.LD_MMA()
  • NLopt.LD_AUGLAG()
  • NLopt.LD_AUGLAG_EQ()
  • NLopt.LD_SLSQP()
  • NLopt.LD_CCSAQ()

The Rosenbrock function can be optimized using NLopt.LD_LBFGS() as follows:

using Optimization, OptimizationNLopt
rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
x0 = zeros(2)
p = [1.0, 100.0]
f = OptimizationFunction(rosenbrock, Optimization.AutoForwardDiff())
prob = Optimization.OptimizationProblem(f, x0, p, lb = [-1.0, -1.0], ub = [1.0, 1.0])
sol = solve(prob, NLopt.LD_LBFGS())
retcode: Success
u: 2-element Vector{Float64}:
 1.0
 1.0

Global Optimizer

Without Constraint Equations

The following algorithms in NLopt are performing global optimization on problems without constraint equations. However, lower and upper constraints set by lb and ub in the OptimizationProblem are required.

NLopt global optimizers which fall into this category are:

  • NLopt.GN_DIRECT()
  • NLopt.GN_DIRECT_L()
  • NLopt.GN_DIRECT_L_RAND()
  • NLopt.GN_DIRECT_NOSCAL()
  • NLopt.GN_DIRECT_L_NOSCAL()
  • NLopt.GN_DIRECT_L_RAND_NOSCAL()
  • NLopt.GD_STOGO()
  • NLopt.GD_STOGO_RAND()
  • NLopt.GN_CRS2_LM()
  • NLopt.GN_MLSL()
  • NLopt.GD_MLSL()
  • NLopt.GN_MLSL_LDS()
  • NLopt.GD_MLSL_LDS()
  • NLopt.G_MLSL()
  • NLopt.G_MLSL_LDS()
  • NLopt.GN_ESCH()

The Rosenbrock function can be optimized using NLopt.GN_DIRECT() as follows:

using Optimization, OptimizationNLopt
rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
x0 = zeros(2)
p = [1.0, 100.0]
f = OptimizationFunction(rosenbrock)
prob = Optimization.OptimizationProblem(f, x0, p, lb = [-1.0, -1.0], ub = [1.0, 1.0])
sol = solve(prob, NLopt.GN_DIRECT(), maxtime = 10.0)
retcode: MaxTime
u: 2-element Vector{Float64}:
 0.9999999999999858
 0.9999999999999716

Algorithms such as NLopt.G_MLSL() or NLopt.G_MLSL_LDS() also require a local optimizer to be selected, which via the local_method argument of solve.

The Rosenbrock function can be optimized using NLopt.G_MLSL_LDS() with NLopt.LN_NELDERMEAD() as the local optimizer. The local optimizer maximum iterations are set via local_maxiters:

using Optimization, OptimizationNLopt
rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
x0 = zeros(2)
p = [1.0, 100.0]
f = OptimizationFunction(rosenbrock, Optimization.AutoForwardDiff())
prob = Optimization.OptimizationProblem(f, x0, p, lb = [-1.0, -1.0], ub = [1.0, 1.0])
sol = solve(prob, NLopt.G_MLSL_LDS(), local_method = NLopt.LD_LBFGS(), maxtime = 10.0,
    local_maxiters = 10)
retcode: MaxTime
u: 2-element Vector{Float64}:
 1.0
 1.0

With Constraint Equations

The following algorithms in NLopt are performing global optimization on problems with constraint equations. However, lower and upper constraints set by lb and ub in the OptimizationProblem are required.

Constraints with NLopt

Equality and inequality equation support for NLopt via Optimization is not supported directly. However, you can use the MOI wrapper to use constraints with NLopt optimizers.

NLopt global optimizers which fall into this category are:

  • NLopt.GN_ORIG_DIRECT()
  • NLopt.GN_ORIG_DIRECT_L()
  • NLopt.GN_ISRES()
  • NLopt.GN_AGS()