QuadDIRECT.jl

QuadDIRECT is a Julia package implementing QuadDIRECT algorithm (inspired by DIRECT and MCS).

The QuadDIRECT algorithm is called using QuadDirect().

Installation: OptimizationQuadDIRECT.jl

To use this package, install the OptimizationQuadDIRECT package as:

import Pkg; Pkg.add(url="https://github.com/SciML/Optimization.jl", subdir = "lib/OptimizationQuadDIRECT")

Also note that QuadDIRECT should (for now) be installed by doing:

] add https://github.com/timholy/QuadDIRECT.jl.git

Since QuadDIRECT is not a registered package in General registry, OptimizationQuadDIRECT is not registered as well hence it can't be installed with the traditional command.

Global Optimizer

Without Constraint Equations

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

Furthermore, QuadDirect requires splits which is a list of 3-vectors with initial locations at which to evaluate the function (the values must be in strictly increasing order and lie within the specified bounds) such that solve(problem, QuadDirect(), splits).

Example

The Rosenbrock function can optimized using the QuadDirect() 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])
solve(prob, QuadDirect(), splits = ([-0.9, 0, 0.9], [-0.8, 0, 0.8]))