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

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Reproducibility

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0000996

[ALGLIB] Optimization

feature

have not tried

2023-10-30 00:14

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SergeyB

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public

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SergeyB

Priority

normal

Resolution

implemented

Status

resolved

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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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