0000996: IMPLEMENTED: derivative-free box-constrained nonlinear least squares solvers

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Reproducibility

Date Submitted

Last Update

0000996

[ALGLIB] Optimization

feature

have not tried

2023-10-30 00:14

Reporter

SergeyB

View Status

public

Assigned To

SergeyB

Priority

normal

Resolution

implemented

Platform

Status

resolved

Projection

none

OS Version

ETA

none

Fixed in Version

4.01.0

Product Version

Target Version

4.01.0

Product Build

Summary

0000996: IMPLEMENTED: derivative-free box-constrained nonlinear least squares solvers

Description

Two promising derivative-free NLS solvers were implemented:

* DFO-LSA, a modified version of DFO-LS (Cartis, Fiala, Marteau, Roberts), with "A" standing for ALGLIB in order to distinguish it from the original version. This algorithm achieves the smallest function evaluations count, but has relatively high iteration overhead and no callback parallelism potential (it issues target evaluation requests one by one, so they can not be parallelized). Recommended for expensive targets with no parallelism support.

* 2PS (two-point stencil) - an easily parallelized algorithm developed by ALGLIB Project. It needs about 3x-4x more target evaluations than DFO-LSA (the ratio has no strong dependence on the problem size), however it issues target evaluation requests in large batches, so they can be computed in parallel. Additionally it has low iteration overhead, so it can be better suited for problems with cheap targets that DFO-LSA.

Both solvers are provided by the new NLS subpackage.

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Issue History
Date Modified	Username	Field	Change
2023-10-30 00:14	SergeyB	New Issue
2023-10-30 00:14	SergeyB	Status	new => assigned
2023-10-30 00:14	SergeyB	Assigned To	=> SergeyB
2023-10-30 00:14	SergeyB	Programming language	=> Unspecified
2023-10-30 00:14	SergeyB	Status	assigned => resolved
2023-10-30 00:14	SergeyB	Fixed in Version	=> 4.01.0
2023-10-30 00:14	SergeyB	Resolution	open => implemented

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