Comparison of derivative-free / black-box optimization algorithms in Julia

Datseris
Fri, 02 Feb 2024 11:25:17 +0000
Optimization (Mathematical)

Is anyone aware of a comparison between derivative-free / black box optimization libraries in Julia? If not, perhaps it is worth starting one here and finally putting it in the Julia Package Comparisons website?

At the moment I am not sure which one to use, Optim.NelderMead or BlackBoxOptim. In either documentation I couldn’t find a comparison. However, there appears to be more and more packages popping up e.g., I just found about PRIMA. And Optimization.jl wraps even more!

Note that my question has two aspects: the scientific aspect in mind (limitations, stability, etc.) and of course the computational performance, given a problem that all algorithms can solve, which one does it faster. @ChrisRackauckas shared with me this repo for a performance comparison: GitHub - jonathanBieler/BlackBoxOptimizationBenchmarking.jl: BlackBoxOptimizationBenchmarking (which unfortunately needs to be updated and rerun)

In any case it is probably useful to have a comparison in JuliaPackageComparisons so we can use this thread to make it! (yes, I love that website!!!)

13 posts - 7 participants