MultiStartOptimization.jl

MultistartOptimization is a is a Julia package implementing a global optimization multistart method which performs local optimization after choosing multiple starting points.

MultistartOptimization requires both a global and local method to be defined. The global multistart method chooses a set of initial starting points from where local the local method starts from.

Currently, only one global method (TikTak) is implemented and called by MultiStartOptimization.TikTak(n) where n is the number of initial Sobol points.

Installation: OptimizationMultiStartOptimization.jl

To use this package, install the OptimizationMultiStartOptimization package:

import Pkg; Pkg.add("OptimizationMultiStartOptimization")

Note

You also need to load the relevant subpackage for the local method of you choice, for example if you plan to use one of the NLopt.jl's optimizers, you'd install and load OptimizationNLopt as described in the NLopt.jl's section.

Global Optimizer

Without Constraint Equations

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

Examples

The Rosenbrock function can optimized using MultistartOptimization.TikTak() with 100 initial points and the local method NLopt.LD_LBFGS() as follows:

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, MultistartOptimization.TikTak(100), NLopt.LD_LBFGS())

You can use any Optimization optimizers you like. The global method of the MultiStartOptimization is a positional argument and followed by the local method. This for example means we can perform a multistartoptimization with LBFGS as the optimizer using either the NLopt.jl or Optim.jl implementation as follows. Moreover, this interface allows you access and adjust all the optimizer settings as you normally would:

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, MultistartOptimization.TikTak(100), NLopt.LD_LBFGS())
sol = solve(prob, MultistartOptimization.TikTak(100), LBFGS())