mads 0.0.4

An implementation of Mesh Adaptive Direct Search (MADS) for gradient-free optimization.

Mesh Adaptive Direct Search (MADS)

This package provides an implementation of the Mesh Adaptive Direct Search (MADS) algorithm for gradient-free optimization [1]. More specifically, it uses a modified variant of MADS with orthogonal search directions (OrthoMADS) [2]. However, it abandons using the deterministic Halton sequence for search directions in favor of random search directions, and only performs poll steps.

Using MADS

The user must provide the following arguments

• A numpy array of initial design variables
• A numpy array of upper bounds for the design variables
• A numpy array of lower bounds for the design variables
• An objective function to be minimized
• An initial poll size
• An initial mesh size
• A stopping tolerance based on the poll size e.g. 1E-6
• A stopping tolerance based on the objective function e.g. 1E-6
• A stopping tolerance based on the maximum number of iterations
• True/False flag for printing optimization statistics
• True/False flag for saving optimization statistics to a log.txt file

MADS will perform up to the specified maximum number of design iterations. At each iteration it will perform up to 2N evaluations of the objective function, where N is the number of design variables, skipping points that have already been evaluated. It automatically shrinks/expands the poll size to search the design space, and exits when any one of the three aforementioned stopping criteria is met.

Upon completion, MADS returns

• The mimimized value of the objective function
• A numpy array of the design variables that yielded this minima

Example Applications

Here we provide a simple example problem to minimize f(x,y) = (x-0.3)² + (y-0.7)². This is a strictly postive function, which trivially takes a minimum value at [x,y] = [0.3,0.7]. We will an initial guess of [x,y] = [0.5,0.5] and take upper and lower bounds within the unit square.

import numpy as np
from mads import mads

# Define objective function
def objective_function(d):
    f = (d[0] - 0.3)**2 + (d[1] - 0.7)**2
    
    return f

# Provide the problem configuration
design_variables = np.array([0.23, 0.97])   # Initial design variables
bounds_lower = np.array([0, 0])             # Lower bounds for design variables
bounds_upper = np.array([1, 1])             # Upper bounds for design variables
dp_tol = 1E-6                               # Minimum poll size stopping criteria
nitermax = 1000                             # Maximum objective function evaluations
dp = 0.1                                    # Initial poll size as percent of bounds
dm = 0.01                                   # Initial mesh size as percent of bounds

# Run the optimizer
orthomads(design_variables, bounds_upper, bounds_lower, objective_function, dp, dm, dp_tol, nitermax, True, True)

This should exit with the following results

Optimization Results...
Optimal:  0.0565000000 Parameters: [ 0.2100000000  0.9200000000] Iter/Eval: 1 3
Optimal:  0.0153000000 Parameters: [ 0.2700000000  0.8200000000] Iter/Eval: 2 6
...
Optimal:  0.0000000000 Parameters: [ 0.3000002117  0.7000000651] Iter/Eval: 62 243

References

[1] C. Audet and J. E. Dennis, Mesh Adaptive Direct Search Algorithms for Constrained Optimization, SIAM Journal on Optimization, 2006, 17 (1), 188-217.

[2] M. A. Abramson, C. Audet, J. E. Dennis, and S. Le Digabel, OrthoMADS: A Deterministic MADS Instance with Orthogonal Directions, SIAM Journal on Optimization, 2009, 20 (2), 948-966.