[jira] [Created] (MATH-1394) Implementation of DIRECT global optimizer

["Burton Patkau (JIRA)" <ji...@apache.org>]

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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