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https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13132891#comment-13132891
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Dr. Dietmar Wolz commented on MATH-621:
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> from an original test suite used by BOBYQA's author!
No, they are derived from the CMA-ES testsuite which itself was derived from
samples from Nikolaus Hansen (the author of CMA-ES). Nikolaus Hansen did quite
extensive testing because of the stochastic nature of CMA-ES. I have no
objections to loosen the accuracy thresholds and to add "systematic" tests.
Regarding the
"hypothetical expert" we perhaps have to actively search for one - as far as I
remember there were some guys in south america extending BOBYQA at the FORTRAN
level. The problem is to find someone familiar with unit tests and the concepts
behind BOBYQA. Perhaps we can raise interest at some university to work with us?
> BOBYQA is missing in optimization
> ---------------------------------
>
> Key: MATH-621
> URL: https://issues.apache.org/jira/browse/MATH-621
> Project: Commons Math
> Issue Type: New Feature
> Affects Versions: 3.0
> Reporter: Dr. Dietmar Wolz
> Fix For: 3.0
>
> Attachments: BOBYQA.math.patch, BOBYQA.v02.math.patch,
> BOBYQAOptimizer.java.patch, BOBYQAOptimizer0.4.zip, bobyqa.zip,
> bobyqa_convert.pl, bobyqaoptimizer0.4.zip, bobyqav0.3.zip
>
> Original Estimate: 8h
> Remaining Estimate: 8h
>
> During experiments with space flight trajectory optimizations I recently
> observed, that the direct optimization algorithm BOBYQA
> http://plato.asu.edu/ftp/other_software/bobyqa.zip
> from Mike Powell is significantly better than the simple Powell algorithm
> already in commons.math. It uses significantly lower function calls and is
> more reliable for high dimensional problems. You can replace CMA-ES in many
> more application cases by BOBYQA than by the simple Powell optimizer.
> I would like to contribute a Java port of the algorithm.
> I maintained the structure of the original FORTRAN code, so the
> code is fast but not very nice.
> License status: Michael Powell has sent the agreement via snail mail
> - it hasn't arrived yet.
> Progress: The attached patch relative to the trunk contains both the
> optimizer and the related unit tests - which are all green now.
> Performance:
> Performance difference (number of function evaluations)
> PowellOptimizer / BOBYQA for different test functions (taken from
> the unit test of BOBYQA, dimension=13 for most of the
> tests.
> Rosen = 9350 / 1283
> MinusElli = 118 / 59
> Elli = 223 / 58
> ElliRotated = 8626 / 1379
> Cigar = 353 / 60
> TwoAxes = 223 / 66
> CigTab = 362 / 60
> Sphere = 223 / 58
> Tablet = 223 / 58
> DiffPow = 421 / 928
> SsDiffPow = 614 / 219
> Ackley = 757 / 97
> Rastrigin = 340 / 64
> The number for DiffPow should be dicussed with Michael Powell,
> I will send him the details.
> Open Problems:
> Some checkstyle violations because of the original Fortran source:
> - Original method comments were copied - doesn't follow javadoc standard
> - Multiple variable declarations in one line as in the original source
> - Problems related to "goto" conversions:
> "gotos" not convertible in loops were transated into a finite automata
> (switch statement)
> "no default in switch"
> "fall through from previos case in switch"
> which usually are bad style make no sense here.
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