from:"Dr. Dietmar Wolz \(JIRA\)"

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-09-07 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13099276#comment-13099276
]

Dr. Dietmar Wolz commented on MATH-621:
---

{quote}
I have written a lot of symmetric matrix code, and it ALWAYS outperforms any
Java library I can find, simply because I use the proper 1D array form of
storage.
{quote}

A previous version of the code (attached as version 0.4) directly uses 1D
arrays instead of Matrices and is definitely faster. But here in CM the focus
is to produce
code which is easily understandable. This way we have a chance to understand
and improve the algorithm itself. If performance of the optimization algo is
important
(which in many applications is not the case because interesting cost
functions are normally expensive to evaluate) then you could call the C-version
of
BOBYQA via JNI which gives you a performance boost of factor 6-10. This is
possible still using the CM interfaces and when the cost function
is implemented in Java.

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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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-21 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13088330#comment-13088330
]

Dr. Dietmar Wolz commented on MATH-621:
---

Problems with acurracy after refactoring are common with bobyqa. I always
monitored also the number of function evaluations for each unit test. It is
nontrivial to estimate which change is tolerable and which not. But if we plan
further refactorings like a more extensive use of the CM matrix methods, we
have to accept that we modify also the behaviour of the algorithm and have to
adapt the tests. People who prefer the original can use the attachments here.

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

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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-21 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13088385#comment-13088385
]

Dr. Dietmar Wolz commented on MATH-621:
---

For me the unit tests initially had a different porpose: to ensure we reproduce
the original exactly in java. I compared the eval numbers and ensured they
didn't change from the original. Now we are in a different phase. Failing tests
should be more seen as a warning and we could adapt the limits. But it is not
easy to decide what can betolerated.

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

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[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

2011-08-18 Thread Dr. Dietmar Wolz (JIRA)


 [ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
 ]

Dr. Dietmar Wolz updated MATH-621:
--

Attachment: BOBYQAOptimizer.java.patch

remove unused variables
Would you take that one?

patch related to remove unused variables
and remove unused imports

 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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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-18 Thread Dr. Dietmar Wolz (JIRA)


[ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13086976#comment-13086976
 ] 

Dr. Dietmar Wolz commented on MATH-621:
---

I checked out immediately before producing the patch immediately before 
attaching it here, strange that 
there was a conflict. Is it a good idea to maintain a import order inconsistent 
with organize imports in
eclipse? This makes organize imports useless. But ok, so should I again 
produce a patch without
the imports? But I cannot avoid a conflict if you check in just as I produce 
the 
patch. By the way: such situations
are much easier to handle using git, but this is no option here. 


- Ursprüngliche Mail 
Von: Gilles (JIRA) j...@apache.org
An: drdietmarw...@yahoo.de
Gesendet: Donnerstag, den 18. August 2011, 13:42:27 Uhr
Betreff: [jira] [Commented] (MATH-621) BOBYQA is missing in optimization


[ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13086967#comment-13086967
 ] 


Gilles commented on MATH-621:
-

The patch does not apply cleanly on the last revision. Are you submitted to the 
commits ML?
If not, we should really _coordinate_. In my mind, that meant that while 
waiting 
for your answer to my questions here, I can continue updating the code...

{quote}
remove unused imports
{quote}

Please don't do that. Or in a separate patch. Or not with Eclipse: Because it 
reordered the import lines, out of 12 changed lines, only 2 were really 
suppressing unused import statements.



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 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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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-18 Thread Dr. Dietmar Wolz (JIRA)


[ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13087006#comment-13087006
 ] 

Dr. Dietmar Wolz commented on MATH-621:
---





So you want to force Eclipse users not to use the organize import 
functionality?
What is the advantage for the non-Eclipse-users? Are there other tools with 
 organize import functionality which produce a different order of imports?



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 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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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-17 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13086341#comment-13086341
]

Dr. Dietmar Wolz commented on MATH-621:
---

So finally we use the cm vectors / matrices, fine.
Whats next? My feeling is that before we look at the case statements we should
do some easy stuff:
1) remove unused variables (eclipse shows some ugly yellow warnings)
2) reorganize variable use (limit their scope). Should be done with the case
statement removal in mind.
3) would be great if we could use/identify some of the ArrayRealVector /
Array2DRowRealMatrix operations (beside getEntry/setEntry)
We should coordinate 1) + 2), 3) may perhaps be done independently -
and later merged.

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,
BOBYQAOptimizer0.4.zip, bobyqa.zip, bobyqa_convert.pl,
bobyqaoptimizer0.4.zip, bobyqav0.3.zip

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-16 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13085643#comment-13085643
]

Dr. Dietmar Wolz commented on MATH-621:
---

also remove the whole case 190 (lines 667-697)

My gut feeling is yes. We could just do it and rely on our unit tests.
Alternatively I could ask Mike Powell. It doesn't seem that case 190
does anything beside adaptions after rescue.

- Ursprüngliche Mail
Von: Gilles (JIRA) j...@apache.org
An: drdietmarw...@yahoo.de
Gesendet: Montag, den 15. August 2011, 23:27:27 Uhr
Betreff: [jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13085340#comment-13085340
]

Gilles commented on MATH-621:
-

Commenting out rescue (line 671) makes the testRescue test fail, as
expected. So, if I also remove the test, we are fine. However, do you know
whether I can also remove the whole case 190 (lines 667-697) as well as any
code that references that state (e.g. lines 791-796, 846-851, 2597-2599,
etc.)?

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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,
BOBYQAOptimizer0.4.zip, bobyqa.zip, bobyqa_convert.pl,
bobyqaoptimizer0.4.zip, bobyqav0.3.zip

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

2011-08-15 Thread Dr. Dietmar Wolz (JIRA)


 [ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
 ]

Dr. Dietmar Wolz updated MATH-621:
--

Attachment: BOBYQAOptimizer0.4.zip

No changes from the perl generated code 
beside the ones necessary to get INDEX_OFFSET=0 working. Introduced 
INDEX_OFFSET where possible but there were
many other adaptions necessary (just compare the perl generated code with the 
attachment). Version 0.3 had some useful 
additional minor changes/refactorings missing here (see remarks below),
but the main work for 0.3 was the index change, and this we have here again. 
Remarks:

1) The perl script has damaged the for loop intendation

2) n, npt and nptm should be global variables and not set separately
in each method

3) System generated locals: Declare variables in the scope they are needed and
not method-globally if not necessary

4) testDiagonalRosen() is a copy/paste leftover from CMAES, should be removed

5) We should shink about removing rescue as proposed by Mike Powell. 



 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, 
 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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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-15 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13085074#comment-13085074
]

Dr. Dietmar Wolz commented on MATH-621:
---

{quote}
I see that you hard-coded the offset in most places instead of using
INDEX_OFFSET. I still think that this place-holder would be useful to keep
track of places where the index variables might have been set to fit with the
Fortran 1-based counting... Don't you?

I am not convinced yet. I thought INDEX_OFFSET as a tool to support the
conversion. If you don't use
INDEX_OFFSET in the for loops (for int i = INDEX_OFFSET ...) I don't see why to
introduce it artificially
in other places. The final aim should be to get rid of the
Fortran-Arrays/Matrices and have 0-based access. I don't see
it essential to maintain INDEX_OFFSET as a kind of back reference to the old
Fortran code in the future.
We have the unit tests as regression test.

Just try to convert one method - lets say prelim - the way you want to have it.
The working 0-based version 0.4 should make this easy. Then lets have a look at
it.
I suspect it to become rather ugly using INDEX_OFFSET in all places. But then we
also should convert the for loops as (for int i = INDEX_OFFSET ...) so that
the code runs
again with INDEX_OFFSET=1. If you then really think it is better this way, I
will help to
convert the other methods.

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,
BOBYQAOptimizer0.4.zip, bobyqa.zip, bobyqa_convert.pl,
bobyqaoptimizer0.4.zip, bobyqav0.3.zip

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-13 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13084673#comment-13084673
]

Dr. Dietmar Wolz commented on MATH-621:
---

Will try to fix the offsets, but this will probably take some time.

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, bobyqa.zip,
bobyqa_convert.pl, bobyqaoptimizer0.4.zip, bobyqav0.3.zip

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-10 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13082249#comment-13082249
]

Dr. Dietmar Wolz commented on MATH-621:
---

Hi Gilles,
it was not my intention to separate forces, but the only thing I could do
during my
vacation partly without internet access was to focus on one single topic, I
chose
the replace all 1-based loops by 0-based loops task. Of course I didn't expect
that you restart from scratch, but that we somehow integrate what we have done
so far.
Question is now: should we really go to CM matrices in one step, or use 0-based
Arrays
as an intermediate step? I could for instance use your code as a basis and try
to come
up with an 0-based equivalent as an intermediate step. What do you think?
By the way, thanks for your significant efforts.

Gilles commented on MATH-621:
That said, I'm a bit dismayed that we don't seem to combine our forces to
achieve that goal.

- Ursprüngliche Mail
Von: Gilles (JIRA) j...@apache.org
An: drdietmarw...@yahoo.de
Gesendet: Samstag, den 6. August 2011, 19:16:27 Uhr
Betreff: [jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13080431#comment-13080431
]

Gilles commented on MATH-621:
-

My first steps in the (hopefully) good direction were committed in revision
1154550.

I think that the next step would be to replace all 1-based loops by 0-based
loops, together with changing all occurrences of FortranArray and
FortranMatrix by ArrayRealVector and Array2DRealMatrix, respectively.
This
is a little delicate because all changes must be done at once, and also because
some indices are hard-coded and there are some tests on various index bounds
(e.g. in prelim and rescue)... However, I hope that Dietmar's new version
with arrays (which I haven't looked at yet) will help sort this out.

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, bobyqa.zip,
bobyqaoptimizer0.4.zip, bobyqav0.3.zip

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-10 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13082374#comment-13082374
]

Dr. Dietmar Wolz commented on MATH-621:
---

If you already started writing scripts we should see what they generate.

I needed several days fixing the indices / removing all newly introduced bugs
when I moved to 0-based Java arrays.

My hope is that the indexing problems can be solved by looking into my 0-based
Java array version.

maybe because I used the C++-port in dlib?
http://dlib.net/dlib/optimization/optimization_bobyqa.h.html
there are no matrices.

But I agree, starting with matrices and automatically transform them into
a Array2DRowRealMatrix seems
a good idea.

- Ursprüngliche Mail
Von: Gilles (JIRA) j...@apache.org
An: drdietmarw...@yahoo.de
Gesendet: Mittwoch, den 10. August 2011, 16:19:27 Uhr
Betreff: [jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13082361#comment-13082361
]

Gilles commented on MATH-621:
-

Hello Dietmar.

{quote}
Of course I didn't expect
that you restart from scratch, but that we somehow integrate what we have done
so far.
{quote}

But I did not restart from scratch; I used your Java translation and went from
there!
In fact, it looks like I used the original Fortran because I indeed did
transform the ScopedPtr that were inherently bi-dimensional (i.e. matrices
like bmat and zmat) into (new auxiliary) FortranMatrix objects.
It was only when I checked for the bug in rescue that I looked into the
original Fortran, and discovered that it was using matrices! I still don't
understand why they were translated into 1-d arrays in your code...

{quote}
Question is now: should we really go to CM matrices in one step, or use 0-based
Arrays as an intermediate step? I could for instance use your code as a basis
and try
to come up with an 0-based equivalent as an intermediate step. What do you
think?
{quote}

Going to 0-based loops and replace FortranArray and FortranMatrix with
their
CM-equivalent (ArrayRealVector and Array2DRowRealMatrix), which are
0-based,
can only be done in one step, if I'm not mistaken.

I've started to write a script that would do the translation of everything that
can be spotted automatically i.e. construct like
{code}
for (int i = 1; i n; i++)
{code}
and
{code}
zmat.getEntry(2, j)
{code}
and
{code}
FortranArray glag = new FortranArray(n);
{code}
etc.

But there are some contructs that must be changed concomitantly (like some test
on array bounds in prelim) and cannot be done automatically. I also suspect
that some simplification could be done there because of the use of a variable
containing the number of evaluations + 1. Unfortunately, my first attempt was
not successful :(

So, what I suggest is that
* I finish my (Perl) script; I'll test that it makes all the intended
replacements (but obviously the resulting code will not pass the tests anymore
until all the non-trivial replacements have been correctly performed).
* I'll post it here so that you can run it on your working copy
* you could then attempt to perform the rest of the 1-based to 0-based
conversion.

Once we are left with ArrayRealVector and Array2DRowRealMatrix, we can see
whether some of the explicit loops can replaced by matrix operation methods
from
CM's RealMatrix interface.
After this low-level clean-up we can discuss how to introduce the bounded
optimization concept into the CM API (I've already marked the code with XXX
to that purpose).
Concurrently to the preceding point, it would be nice to gradually tackle the
goto problem.

What do you think?

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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, bobyqa.zip,
bobyqaoptimizer0.4.zip, bobyqav0.3.zip

Original Estimate: 8h
Remaining Estimate: 8h

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-02 Thread Dr. Dietmar Wolz (JIRA)


[ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13076222#comment-13076222
 ] 

Dr. Dietmar Wolz commented on MATH-621:
---

Hi Gilles,
bug is confirmed - and it is also in the new array based version. 
Debugging the unit test reveals sum is 0 here, so for rescue the
unit tests are not sufficient at the moment. 

Creating the array based version caused a lot of these bugs initially, but I 
would favour this version
over the old one because it is much cleaner and easier to read and maintain.

My experience is that if you introduce this kind of bug in any part beside 
rescue, you
are guaranteed to see a difference in the output I put into the junit tests 
form 
my newest attachment.

The number of function calls will differ from the C/Fortran version. But you 
definitinely have
to compare these function call numbers with the C/Fortran version, to be sure 
everything is 

as intended. Even slight changes like a = a+b replaced by a += b can cause 
trouble
because of subtle accuracy problems accumulating over time. 

Rescue is a completely different story, therfore I asked Mike Powell whether he 
could
provide us with meaningful samples/testsm his answer was: 


---
Excerpt from a mail from Mike Powell:
Concerning RESCUE, it is present in BOBYQA because, in some tests
with unattainable accuracy requirements, a little more progress could
be made by invoking RESCUE. Checking the correctness of RESCUE was
possible only by modifying the package in a way that forced it to be
called in situations that were not contaminated severely by loss of
accuracy. I may decide to delete RESCUE from the Fortran package that
I send to people who ask for BOBYQA.
-

To make progress we have a lot of options to decide:

1) Keep rescue? May be removing it from the initial release in commons.math 
doesn't do too much harm.
When keeping it we should find useful applications before and add them to the 
unit tests.

2) Using arrays instead of pointers and don't use the large shared working 
space? I would prefer so, since the
arrays-version is faster in Java (pointers need to be emulated) and the code 
becomes much clearer. 


3) Complete redesign/refactor the code? 
A difficult issue. I would say that this is very hard to achieve. 
Instead I would try to build something equivalent from scratch. 
Problem is that Mike Powell put 50 years of experience developing optimization 
algos
into BOBYQA and you can see that comparing the number of cost function calls 
needed with other
optimization algos. So from the user perspective BOBYQA has a huge value even 
if 
not completely 

refactored/redesigned and it is not an easy decision to keep BOBYQA out of 
commons.math for
code-aesthetic reasons.

I would like to see other opinions on these options.

Gilles commented on MATH-621:
-

Dietmar,

I think I've come across a bug in function rescue. At line 2443 (of the Java 
translation I use for comparison, i.e. the one with ScopedPtr):
{code}
i__2 = ndim;
for (ip = npt; ip = i__2; ip++) {
  sum += bmat.get(ip + j * bmat_dim1) * w.get(ip);
}
{code}
Whereas, in the original Fortran code (at line 1544):
{noformat}
  DO 220 IP=NPT+1,NDIM
  220 SUM=SUM+BMAT(IP,J)*W(IP)
{noformat}

Can you confirm?

If indeed, the loop should start at npt + 1, I've made the change; but tests 
still all pass! Does this mean that the one exercising rescue is too lenient?
Trying to remove the w (split work space) from rescue provides many 
possibilities for my own mistakes; thus I am a little scared that they would 
also go unnoticed...



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 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, bobyqa.zip, 
 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

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-02 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13076251#comment-13076251
]

Dr. Dietmar Wolz commented on MATH-621:
---

The new version was not mentioned earlier because it didn't exist. I did
that on my vacation and uploaded it at the day I got the tests through.

I suspected you tried something similar but I thought that it would it
make easier for you to locate bugs in your version if you had something
working using arrays for comparison.

Conversion of the state machine is far from trivial, if you want to do
it properly. Problem is that you either define a lot of global variables
or have to transfer a huge number of parameters.

What would the jar-solution mean for the users?
How will a user find the jar, who will host these kind of black box extensions
to CM?

Instead of providing a jar you could also provide a dll/shared libraries
together with a JNI interface. It is also a black box -
but up to six times faster according to my tests. But I agree - performance
is not essentially here because you usually have expensive evaluation functions.

Having the code published could inspire others to work and improve on it.

Gilles commented on MATH-621:
-

:( It's a pity that you didn't mention this version earlier; I already spent
quite a few hours replacing the ScopedPtr variables. Only a few of them
remains in my working version: namely, those that are created as offsets in w
before calling trsbox, rescue, altmov and update.
Since I also made a few other changes along the way, I don't feel like starting
all (almost) over again...
Hence, I'll continue with my incremental changes; but, at some point, I could
use some help to convert the state machine code into proper function calls.

IMO, we should first arrive at a clearer code before worrying about performance
(the more so that, as you pointed out, this algorithm will probably be put to
use when function evaluation is expensive, overwhelming the optimizer's code
running time).

The refactoring from efficient Fortran to (very probably less efficient) Java
is
a big effort but it's indispensable: If it were not to become understandable
and
maintainable, I don't see the point in including it in CM; you could just
provide the straight translation in a JAR file and people would use it as a
black box.

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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, bobyqa.zip,
bobyqaoptimizer0.4.zip, bobyqav0.3.zip

Original Estimate: 8h
Remaining Estimate: 8h

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-08-02 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13078395#comment-13078395
]

Dr. Dietmar Wolz commented on MATH-621:
---

The code is now fully documented - even the internals of the private functions.
Gilles and me have already removed the main obstacle - the use of pointers und
the
nasty huge working area.
A further refactoring - splitting the private functions into smaller ones - now
is much more work.
Maybe Gilles can give an estimation of the effort?
I started and was a bit frustrated soon since I had to introduce so many global
variables, I felt the
code even lost readability. Now the variables are at least local to the
(admittedly large) functions.
I got the feeling that it would be easier to invent something equivalent from
scratch describing the
algorithm mathematically as a set of matrix operations first - similar as it
was done for CMA-ES.
Then a clean implementation (maybe starting with a matlab prototype) could be
done.
I can perform the second step - but for the first one an active researcher in
the field would
be required - a researcher willing to license his work for Apache. As discussed
in the mailing
list there are candidates and Luc offered to approach one of them.

To summarize the opinions so far:
Besides Luc and me everyone seems to favor to keep out BOBYQA from CM. It could
be
hosted at Apache Extras, GitHub or SourceForge.
Gilles continues to try to further enhance the code with the aim to make it
suitable for
inclusion into CM.

Phil Steitz commented on MATH-621:
--
+1 for this and that we could do here. The key is to get the code to the point
where others can follow it so they get inspired rather than confused and
frustrated.

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, bobyqa.zip,
bobyqaoptimizer0.4.zip, bobyqav0.3.zip

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

2011-07-31 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Dr. Dietmar Wolz updated MATH-621:
--

Attachment: bobyqaoptimizer0.4.zip

The attached new version contains three variants of BOBYQA implementing the
MultivariateRealOptimizer together with their associated unit tests:

BOBYQAOptimizerOld - essentially the previous version 0.3 with minor adaptions
in the unit tests added for comparison.

BOBYQAOptimizer - the actual version I use myself - all pointers are replaced
by Java arrays. This version is much easier to read and faster than the old
one. Nevertheless the finite state machine logic realized by the original
code using gotos is still there - in Java realized using switch/case statements.

BOBYQAOptimizerC - a version showing how MultivariateRealOptimizer can be
implemented using the C-port of BOBYQA from the dlib library. The C++-code
doing the mapping from Java to C++ to Java via JNI is also included.

Some remarks:

- all three versions are semantically equivalent - at least from the point of
the actual unit test coverage.

- the new Java version is about 30% faster than the old one - array access is
cheaper than method calls simulating pointer arithmetic.

- I observed a significant change of behaviour when statements like
a = a+(b...) are replaced by a += (b...). Subtle accuracy differences add up
during the optimization process.

- The C version was tested both on Mac (Snow Leopard) and Windows7,
both for 32 and 64-bit Java. For 64bit the Microsoft C++-compiler produced
correct
results only if optimization is switched off completely, on the Mac the
gnu compiler works correctly using -O3.

- On the Mac (a Macbook pro with a new sandy bridge processor) the C-version
performs the unit tests three times faster than the (new) Java version.
The difference on Win7 is much smaller, since I couldn't use compiler
optimization
there yet. The performance difference is not significant for my own application
of the algo (space flight trajectory optimization) because of the high cost for
the eval function. But this is perhaps not true for all other applications.

So if we want to include BOBYQA in commons.math in my opinion we shouldn't
neglect performance issues generally. Even a direct port of the code has a
significant
performance disadvantage, any refactoring should try to avoid adding too much
additional performance bottlenecks.

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, bobyqa.zip,
bobyqaoptimizer0.4.zip, bobyqav0.3.zip

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-07-16 Thread Dr. Dietmar Wolz (JIRA)


[ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13066380#comment-13066380
 ] 

Dr. Dietmar Wolz commented on MATH-621:
---

Confirmed - this also happens with the original code, I will ask Mike Powell to 
provide us with a function exercising rescue. You are probably suspicious 
whether the Java rescue works, as am I. 

 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, bobyqa.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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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-07-16 Thread Dr. Dietmar Wolz (JIRA)


[ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13066425#comment-13066425
 ] 

Dr. Dietmar Wolz commented on MATH-621:
---

Now I remember that I debugged rescue (and removed a nasty infinite loop) 
testing MinusElli with GoalType.MAXIMIZE before I fixed the 
GoalType.MAXIMIZE handling. Testing MinusElli with GoalType.MINIMIZE still 
calls rescue:

  @Test
public void testRescue() {
double[] startPoint = point(DIM,1.0);
double[][] boundaries = null;
RealPointValuePair expected =
new RealPointValuePair(point(DIM,0.0),-7.5072566333E53);
doTest(new MinusElli(), startPoint, boundaries,
GoalType.MINIMIZE, 
1e45, 1e24, 1000, expected);
}
But parallel testing with the original revealed a problem, so please wait a few 
hours before working on rescue, I will fix it soon.

 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, bobyqa.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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[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

2011-07-16 Thread Dr. Dietmar Wolz (JIRA)


 [ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
 ]

Dr. Dietmar Wolz updated MATH-621:
--

Attachment: bobyqav0.3.zip

rescue was as I feared not correct, the fixed version v0.3 behaves exactly as 
the original. 

A breakup of the working area in separate double arrays should be 
straightforward, but still some work because of the nasty loop counting 
starting with 1.

Something like
 double[] xbase = new double[n];
double[] xpt = new double[n * npt];
double[] fval = new double[npt];
double[] xopt = new double[n];
double[] gopt = new double[n];
double[] hq = new double[n * np / 2];
double[] pq = new double[npt];
double[] bmat = new double[ndim * n];
double[] zmat = new double[npt * (npt - np)];
double[] sl = new double[n];
double[] su = new double[n]; 
double[] xnew = new double[n];
double[] xalt = new double[n];
double[] d__ = new double[n];
double[] vlag = new double[ndim];
double[] w = new double[?];

Class ScopePtr could then be removed and the code should get even faster. 

The gotos/ switches are much harder to eliminate.

 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, bobyqa.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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[jira] [Created] (MATH-621) BOBYQA is missing in optimization

2011-07-15 Thread Dr. Dietmar Wolz (JIRA)

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


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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[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

2011-07-15 Thread Dr. Dietmar Wolz (JIRA)


 [ 
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
 ]

Dr. Dietmar Wolz updated MATH-621:
--

Attachment: BOBYQA.math.patch

Initial code contribution (BOBYQAOptimizer.java + Unit tests)

 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

   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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[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

2011-07-15 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Dr. Dietmar Wolz updated MATH-621:
--

Attachment: BOBYQA.v02.math.patch

Tests with the original code confirmed a problem of BOBYQA with
DiffPow and SsDiffPow. But the tests revealed a problem with the
Java code: Initialization of the bounds with Double.MIN_VALUE and
Double.MAX_VALUE (representing no bounds)
caused trouble, I changed the values to -1e300, 1e300.
The old performance numbers a not valid, BOBYQA
changed the initial guess because of the bounds problem.

Adjusted accuracy level for PowellOptimizer and the new
BOBYQA code - now initialized correctly, lead to the
following 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 = 9831 / 1404
MinusElli = 183 / 115
Elli = 399 / 147
ElliRotated = 8964 / 7165
Cigar = 348 / 56
TwoAxes = 223 / 70
CigTab = 513 / 61
Sphere = 223 / 56
Tablet = 223 / 57
DiffPow = 308 / 10139
SsDiffPow = 667 / 4520
Ackley = 814 / 458
Rastrigin = 327 / 167

Essentially the same picture as before.

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

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

2011-07-15 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=13065965#comment-13065965
]

Dr. Dietmar Wolz commented on MATH-621:
---

FORTRAN code in Java clothes was the best I could do so far.
Perhaps someone else voluteers to transfer the code into a more
readable version using the commons.math matrix operations?
The problem is that the original code heavily relies on pointers and gotos.
It is indeed probably only maintainable by the author.
The current code could simplify the development of a clean version
by enabling parallel debugging using only a Java development environment.
I started with embedding a C++ port via JNI treating the optimizer
as a black box. Since JNI is not possible in commons.math, I tried
to convert the code to Java.
Unfortunately there is nothing publicly available which
has comparable qualities in terms of usability.
From the developer perspective we have a maintanance problem, but from
the user perspective, it is not very satisfactory to abandon BOBYQA.

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

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

2011-07-15 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-621?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Dr. Dietmar Wolz updated MATH-621:
--

Attachment: bobyqa.zip

As requested the source files of the second patch.

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, bobyqa.zip

Original Estimate: 8h
Remaining Estimate: 8h

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[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

2011-02-04 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-442?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=12990737#comment-12990737
]

Dr. Dietmar Wolz commented on MATH-442:
---

Just for clarification: The code used for GTOC is the code from the patch. This
is a new implementation (from me) very closely related to the Matlab version
from Nikolaus. There is also a Java-Version on Nikolaus homepage, but this is a
bit different (and doesn't include the newest ideas). Please contact Nikolaus
Hansen directly via mail, I am not shure he still follows the mailing list.
Last info from him (two days ago) was that he will help to solve the licencing
issue.

CMA evolution strategy is missing in optimization
-

Key: MATH-442
URL: https://issues.apache.org/jira/browse/MATH-442
Project: Commons Math
Issue Type: New Feature
Affects Versions: 3.0
Reporter: Dr. Dietmar Wolz
Fix For: 3.0

Attachments: cmaes.math.patch

Original Estimate: 48h
Remaining Estimate: 48h

Recently I implemented the optimization algorithm CMA-ES based on
org.apache.commons.math.linear and used it for the GTOC5 global trajectory
optimization contest http://gtoc5.math.msu.su/. It implements the
MultivariateRealOptimizer interface and would nicely fit into the
org.apache.commons.math.optimization package. The original author of CMA-ES
(Nikolaus Hansen) volunteered to support me (proof-reading + testing) in the
creation of a CMA-ES contribution for commons.math.
The CMA evolution strategy http://www.lri.fr/~hansen/cmaesintro.html is a
very powerful algorithm for difficult non-linear non-convex optimization
problems in continuous domain. See http://www.lri.fr/~hansen/cec2005.html for
a comparison chart. If there is interest I will create a patch including the
proposed Implementation for evaluation. It seems we would need an additional
sub-package - org.apache.commons.math.optimization.evolutionary.

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[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

2010-11-21 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-442?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=12934306#action_12934306
]

Dr. Dietmar Wolz commented on MATH-442:
---

An initial version of the patch is now reviewed by Nikolaus Hansen and will
hopefully soon be attached.I followed all the hints given in the mailing list.

CMA evolution strategy is missing in optimization
-

Key: MATH-442
URL: https://issues.apache.org/jira/browse/MATH-442
Project: Commons Math
Issue Type: New Feature
Affects Versions: 3.0
Reporter: Dr. Dietmar Wolz
Fix For: 3.0

Original Estimate: 48h
Remaining Estimate: 48h

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[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

2010-11-17 Thread Dr. Dietmar Wolz (JIRA)


[ 
https://issues.apache.org/jira/browse/MATH-442?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=12932872#action_12932872
 ] 

Dr. Dietmar Wolz commented on MATH-442:
---

If all optimization algos which don't require derivatives go into direct this 
would be the right package for CMA-ES. But the term direct is often used with 
another meaning, see for instance 
http://en.wikipedia.org/wiki/Numerical_analysis#Direct_and_iterative_methods 

 CMA evolution strategy is missing in optimization
 -

 Key: MATH-442
 URL: https://issues.apache.org/jira/browse/MATH-442
 Project: Commons Math
  Issue Type: New Feature
Affects Versions: 3.0
Reporter: Dr. Dietmar Wolz
   Original Estimate: 48h
  Remaining Estimate: 48h

 Recently I implemented the optimization algorithm CMA-ES based on 
 org.apache.commons.math.linear and used it for the GTOC5 global trajectory 
 optimization contest http://gtoc5.math.msu.su/. It implements the 
 MultivariateRealOptimizer interface and would nicely fit into the 
 org.apache.commons.math.optimization package. The original author of CMA-ES 
 (Nikolaus Hansen) volunteered to support me (proof-reading + testing) in the 
 creation of a CMA-ES contribution for commons.math. 
 The CMA evolution strategy http://www.lri.fr/~hansen/cmaesintro.html is a 
 very powerful algorithm for difficult non-linear non-convex optimization 
 problems in continuous domain. See http://www.lri.fr/~hansen/cec2005.html for 
 a comparison chart. If there is interest I will create a patch including the 
 proposed Implementation for evaluation. It seems we would need an additional 
 sub-package - org.apache.commons.math.optimization.evolutionary.

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[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

2010-11-17 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-442?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=12932873#action_12932873
]

Dr. Dietmar Wolz commented on MATH-442:
---

We already invested some time to merge the algo to be based on commons.math. If
the code is accepted I will support it in the future including bug fixes. The
author of the algorithm volunteered to support me. For discussions regarding IP
issues I propose to involve also the original author (Nikolaus Hansen) via
e-mail.

CMA evolution strategy is missing in optimization
-

Key: MATH-442
URL: https://issues.apache.org/jira/browse/MATH-442
Project: Commons Math
Issue Type: New Feature
Affects Versions: 3.0
Reporter: Dr. Dietmar Wolz
Original Estimate: 48h
Remaining Estimate: 48h

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[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

2010-11-17 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-442?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=12932936#action_12932936
]

Dr. Dietmar Wolz commented on MATH-442:
---

http://cm.bell-labs.com/cm/cs/doc/96/4-02.ps.gz states that a method should not
'in its heart' develop an approximate gradient as for instance quasi-Newton
methods. I don't think this qualifies CMA-ES as 'direct' method. Adaptation of
the covariance matrix amounts to learning a second order model of the
underlying objective function similar to the approximation of the inverse
Hessian matrix in the Quasi-Newton method in classical optimization .

CMA evolution strategy is missing in optimization
-

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[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

2010-11-17 Thread Dr. Dietmar Wolz (JIRA)

[
https://issues.apache.org/jira/browse/MATH-442?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanelfocusedCommentId=12932961#action_12932961
]

Dr. Dietmar Wolz commented on MATH-442:
---

Will subscribe today

CMA evolution strategy is missing in optimization
-

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[jira] Created: (MATH-442) CMA evolution strategy is missing in optimization

2010-11-16 Thread Dr. Dietmar Wolz (JIRA)

CMA evolution strategy is missing in optimization
-

 Key: MATH-442
 URL: https://issues.apache.org/jira/browse/MATH-442
 Project: Commons Math
  Issue Type: New Feature
Affects Versions: 3.0
Reporter: Dr. Dietmar Wolz


Recently I implemented the optimization algorithm CMA-ES based on 
org.apache.commons.math.linear and used it for the GTOC5 global trajectory 
optimization contest http://gtoc5.math.msu.su/. It implements the 
MultivariateRealOptimizer interface and would nicely fit into the 
org.apache.commons.math.optimization package. The original author of CMA-ES 
(Nikolaus Hansen) volunteered to support me (proof-reading + testing) in the 
creation of a CMA-ES contribution for commons.math. 
The CMA evolution strategy http://www.lri.fr/~hansen/cmaesintro.html is a very 
powerful algorithm for difficult non-linear non-convex optimization problems in 
continuous domain. See http://www.lri.fr/~hansen/cec2005.html for a comparison 
chart. If there is interest I will create a patch including the proposed 
Implementation for evaluation. It seems we would need an additional sub-package 
- org.apache.commons.math.optimization.evolutionary.

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[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

[jira] [Created] (MATH-621) BOBYQA is missing in optimization

[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

[jira] [Commented] (MATH-621) BOBYQA is missing in optimization

[jira] [Updated] (MATH-621) BOBYQA is missing in optimization

[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

[jira] Commented: (MATH-442) CMA evolution strategy is missing in optimization

[jira] Created: (MATH-442) CMA evolution strategy is missing in optimization

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