What are people’s recommendations for a global optimizer? I’m trying to do simulated method of moments (choosing a set of parameters for an economic model to minimise the distance between model predictions and data) and have so far been using blackboxoptim. I find it somewhat unreliable: running exa…

Number of function evaluations. In the original benchmark they go up to 1e7, but this takes already took like 20 minutes to run.

That’s very interesting. Could you please share the benchmarking code?

Did you use the fastpowers branch of IntervalArithmetic.jl? That should give a huge speedup.

My script is here (need master, my PR of IntervalOptimisation and a couple of other packages, like BlackBoxOptim.jl). I just tried the fastpowers branch but I’m getting this : julia> minf, minx = minimise( x->sum(abs2.(x)), IntervalBox(-5.5..5.5, 3) ) ERROR: MethodError: no method matching +(::Int…

[image] jonathanBieler: minf, minx = minimise( x->sum(abs2.(x)), IntervalBox(-5.5…5.5, 3) ) Sorry, make that the nonrecursive_powers branch then.

Wall-clock time would arguably be more interesting than number of function evaluations for the end user?

Wall-clock time depends on the error function (here they are very fast compare to real world cases), so it’s better to count the number of function evaluation and to measure the overhead of the algorithm separately. For the methodology I’m mostly following : https://coco.gforge.inria.fr/COCOdoc/bbo…

Yeah, but isn’t this case a bit different since the function itself takes longer to evaluate due to the intervals? For most other optimization algorithms the function evaluation takes a fixed amount of times, but called with intervals, this is not true. To be fair, the number oräf arithmetic operat…

I agree, the reason why you usually report f-calls is because it’s assumed to be the same. It’s not exactly the same, but it would be like comparing accuracy of a Float64 and Bigfloat run and only counting number of calls. I’m still impressed by the quality of the interval method, but it could poten…

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Specific Domains Optimization (Mathematical)

jonathanBieler December 19, 2019, 10:00am 67

That branch is almost 10x faster indeed. I went a bit further with the number of iterations and IntervalOptimisation does very well.

mean_succ_3
mean_succ_6

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