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esa / pagmo2

A C++ platform to perform parallel computations of optimisation tasks (global and local) via the asynchronous generalized island model.
https://esa.github.io/pagmo2/
GNU General Public License v3.0
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Request: SHGO optimization algorithm #362

Open DGIorio opened 4 years ago

DGIorio commented 4 years ago

Hello,

I would like to request the implementation of the Simplicial Homology Global Optimisation (SHGO) algorithm by Stefan Endres. It is a highly efficient derivative-free method for global optimization, usually requiring just a small amount of funcions evalutions. In some tests with 8-dimension Rosenbrock and Ackley functions, its Scipy implementation requires, respectively, about 750 and 360 functions evaluations, while pygmo's CMA-ES requires, respectively, about 7700 and 5090 evaluations.

Reference: https://stefan-endres.github.io/shgo/

darioizzo commented 4 years ago

Thanks for your pointer! It would indeed be a nice addition ... I wonder how it would perform on the BBoB type of tests.