PDFO: a cross-platform package for Powell’s derivative-free optimization solvers

The late Professor M. J. D. Powell devised five trust-region methods for derivative-free optimization, namely COBYLA, UOBYQA, NEWUOA, BOBYQA, and LINCOA. He carefully implemented them into publicly available solvers, renowned for their robustness and efficiency. However, the solvers were implemented...

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Published inMathematical programming computation Vol. 16; no. 4; pp. 535 - 559
Main Authors Ragonneau, Tom M., Zhang, Zaikun
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer Berlin Heidelberg 01.12.2024
Springer Nature B.V
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ISSN1867-2949
1867-2957
1867-2957
DOI10.1007/s12532-024-00257-9

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Abstract The late Professor M. J. D. Powell devised five trust-region methods for derivative-free optimization, namely COBYLA, UOBYQA, NEWUOA, BOBYQA, and LINCOA. He carefully implemented them into publicly available solvers, renowned for their robustness and efficiency. However, the solvers were implemented in Fortran 77 and hence may not be easily accessible to some users. We introduce the PDFO package, which provides user-friendly Python and MATLAB interfaces to Powell’s code. With PDFO, users of such languages can call Powell’s Fortran solvers easily without dealing with the Fortran code. Moreover, PDFO includes bug fixes and improvements, which are particularly important for handling problems that suffer from ill-conditioning or failures of function evaluations. In addition to the PDFO package, we provide an overview of Powell’s methods, sketching them from a uniform perspective, summarizing their main features, and highlighting the similarities and interconnections among them. We also present experiments on PDFO to demonstrate its stability under noise, tolerance of failures in function evaluations, and potential to solve certain hyperparameter optimization problems.
AbstractList The late Professor M. J. D. Powell devised five trust-region methods for derivative-free optimization, namely COBYLA, UOBYQA, NEWUOA, BOBYQA, and LINCOA. He carefully implemented them into publicly available solvers, renowned for their robustness and efficiency. However, the solvers were implemented in Fortran 77 and hence may not be easily accessible to some users. We introduce the PDFO package, which provides user-friendly Python and MATLAB interfaces to Powell’s code. With PDFO, users of such languages can call Powell’s Fortran solvers easily without dealing with the Fortran code. Moreover, PDFO includes bug fixes and improvements, which are particularly important for handling problems that suffer from ill-conditioning or failures of function evaluations. In addition to the PDFO package, we provide an overview of Powell’s methods, sketching them from a uniform perspective, summarizing their main features, and highlighting the similarities and interconnections among them. We also present experiments on PDFO to demonstrate its stability under noise, tolerance of failures in function evaluations, and potential to solve certain hyperparameter optimization problems.
Author Zhang, Zaikun
Ragonneau, Tom M.
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  surname: Zhang
  fullname: Zhang, Zaikun
  email: zaikunzhang@gmail.com
  organization: Department of Applied Mathematics, The Hong Kong Polytechnic University
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Keywords 65K05
90C30
90-04
COBYLA
UOBYQA
90C56
NEWUOA
BOBYQA
LINCOA
Derivative-free optimization
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Snippet The late Professor M. J. D. Powell devised five trust-region methods for derivative-free optimization, namely COBYLA, UOBYQA, NEWUOA, BOBYQA, and LINCOA. He...
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SubjectTerms FORTRAN
Full Length Paper
Ill-conditioned problems (mathematics)
Mathematics
Mathematics and Statistics
Mathematics of Computing
Noise tolerance
Operations Research/Decision Theory
Optimization
Python
Solvers
Theory of Computation
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Title PDFO: a cross-platform package for Powell’s derivative-free optimization solvers
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