Surrogate model optimization

A julia function can be optimized with

SurrogateModelOptim.smoptimize — Function

smoptimize(f::Function, search_range::Array{Tuple{Float64,Float64},1}; options=Options())

Optimize the function f in the range search_range using a Radial Basis Function based surrogate model.

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The goal is to minimize the function output.

Example

julia> using SurrogateModelOptim
julia> rosenbrock_2D(x) = (1.0 - x[1])^2 + 100.0 * (x[2] - x[1]^2)^2
julia> search_range=[(-5.0,5.0),(-5.0,5.0)]
julia> smoptimize(rosenbrock_2D, search_range)

Due to the high cost of creating several surrogates it is highly advisable to create the surrogate model in parallel. Start julia in parallel with > julia -p x where x is the number of available cores. The previous example can then be run as

julia> result = smoptimize(rosenbrock_2D, search_range;
                    options=SurrogateModelOptim.Options(
                    iterations=15,
                    num_interpolants=N*x, #Where N is an integer number
                    num_start_samples=5,
                        ));

The default option num_interpolants=10, meaning that the surrogate model ensemble contains 10 RBF interpolants, has shown good performance for a variety of functions. The performance is typically good for smooth functions with or without noise. Discontinuous functions are not captured well by RBF interpolation, see the example section. The surrogate model returned in the results does not contain the last evaluated infill points by default. This can be turned on with the option create_final_surrogate=true.

A few helper function are available to deal with the results type.

BlackBoxOptim.best_fitness — Function

best_fitness(result::SurrogateResult)

Extract the best fitness from the SurrogateResult type.

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BlackBoxOptim.best_candidate — Function

best_candidate(result::SurrogateResult)

Extract the design parameters yielding the best fitness from the SurrogateResult type.

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SurrogateModelOptim.f_calls — Function

f_calls(result::SurrogateResult)

Extract the number of function calls used from the SurrogateResult type.

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