Re: de_min.m: global optimisation (differential evolution)

[Christian Fischer]

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Hi Michael,

Thanks for the test script.

It has been a while. My first version I sent performed very well on
the simple rosenbrock function, outperforming SA by using much
less function evaluations.

I made a few adjustments which should make it easier to use.
I added a test, a demo and did a bit cleanup.

I attached the new version along with another very nasty test
function (rastrigin.m). I also made a cpp version if someone is
interested.

I think de_min.m is ready to be included in the optim package.

If there are people saying that they would benefit from a c++
implementation, I might do it. But for many real problems, the
function evaluation itself is the problem.

In order to make updates to this function, it might be a good idea
if have an svn account.

Comments and criticism welcome.

Best wishes
Christian

On Tue, 2009-07-21 at 10:00 +0200, Michael Creel wrote:
> Hi Christian,
> This function looks like it could find a home in the optim package
> (http://octave.sourceforge.net/optim/index.html). I have written
> simulated annealing code that is already part of the package.
> Following is a script that will use your code and the simulated
> annealing code to minimize a higher dimensional Rosenbrock function
> (also in optim).
> Best, Michael
> 
> dim = 10;
> ctl.XVmin = -2*ones(1, dim);
> ctl.XVmax = 2*ones(1, dim);
> tic;
> [x, obj_value, nfeval] = de_min (@rosenbrock, ctl);
> toc
> printf("solution: \n");
> disp(x);
> 
> # SA controls
> ub = 2*ones(dim,1);
> lb = -ub;
> nt = 20;
> ns = 5;
> rt = 0.75; # careful - this is too low for many problems
> maxevals = 1e10;
> neps = 5;
> functol = 1e-7;
> paramtol = 1e-5;
> verbosity = 1; # only final results. Inc
> minarg = 1;
> control = { lb, ub, nt, ns, rt, maxevals, neps, functol, paramtol,
> verbosity, 1};
> # do sa
> x = zeros(dim,1);
> tic;
> [theta, obj_value, convergence] = samin("rosenbrock", {x}, control);
> toc
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de_min.m
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rastrigin.m
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rastrigin_oct.cpp
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