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| The SUMO Toolbox contains a whole hierarchy of optimizers that can be used by several components (for instance the [[SampleSelector#OptimizeCriterion| OptimizeCriterion]] or the [[ModelBuilder#OptimizeModelBuilder|OptimizerModelBuilder]]). | | The SUMO Toolbox contains a whole hierarchy of optimizers that can be used by several components (for instance the [[Config:SampleSelector#expectedImprovement|EGO algorithm]] or the [[Config:AdaptiveModelBuilder#krigingoptim|OptimizerModelBuilder]]). |
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| A list of available optimizers is found in <code>src/matlab/tools/Optimization/optimizers</code>. Note that some optimizers need some external code available in the extension pack (or the Matlab Optimization toolbox). | | A list of available optimizers is found in <code>src/matlab/tools/Optimization/optimizers</code>. Note that some optimizers need some external code available in the extension pack (or the Matlab Optimization toolbox). |
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| A couple of example configurations are listed below. These tags can be used in supported components as stated above. When a particular option is not given a sane default will be used. Full information about the several options can be found in the optimizer source codee, implementation and corresponding papers. | | A couple of '''example configurations''' are found [[Config:Optimizer|here]]. These tags can be used in supported components as stated above. When a particular option is not given a sane default will be used. Full information about the several options can be found in the optimizer source code, implementation and corresponding papers. |
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| === CMAESOptimizer ===
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| Evolution Strategy with Covariance Matrix Adaptation (CMA-ES)
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| <source lang="xml">
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| <Optimizer type="CMAESOptimizer">
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| <Option key="maxFunEvals" value="Inf" />
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| <Option key="stopFitness" value="10" />
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| <Option key="maxIterations" value="1000" />
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| <Option key="TolFun" value="10" />
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| <Option key="sigma" value="-1" />
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| </Optimizer>
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| </source>
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| === DifferentialEvolution ===
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| Differential Evolution.
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| <source lang="xml">
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| <Optimizer type="DifferentialEvolution">
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| <Option key="strategy" value="3" />
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| <Option key="weight" value="0.85" />
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| <Option key="crossover" value="1" />
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| <Option key="populationSize" value="30" />
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| <Option key="maxIterations" value="50" />
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| </Optimizer>
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| </source>
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| === DirectOptimizer ===
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| The DIviding RECtangles (DIRECT) optimizer of Donald D. R. Jones.
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| <source lang="xml">
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| <Optimizer type="DirectOptimizer">
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| <Option key="eps" value="1e-4" />
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| <Option key="maxevals" value="200" />
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| <Option key="maxits" value="100" />
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| <Option key="maxdeep" value="100" />
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| <Option key="showits" value="false" />
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| <Option key="penalty" value="25000" />
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| </Optimizer>
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| </source>
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| === MatlabGA ===
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| Matlab Genetic Algorithm
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| <source lang="xml">
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| <Optimizer type="MatlabGA">
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| <Option key="Generations" value="1000" />
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| <Option key="EliteCount" value="2" />
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| <Option key="CrossoverFraction" value="0.8" />
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| <Option key="PopulationSize" value="20" />
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| <Option key="MigrationInterval" value="20" />
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| <Option key="MigrationFraction" value="0.1" />
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| <Option key="Vectorize" value="on" />
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| </Optimizer>
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| </source>
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| === MatlabOptimizer ===
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| Wrapper around fmincon and fminunc functions of Matlab Optimization toolbox
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| <source lang="xml">
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| <Optimizer type="MatlabOptimizer">
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| <Option key="maxIterations" value="1000" />
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| <Option key="maxFunEvals" value="100" />
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| <Option key="largeScale" value="off" />
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| <Option key="diagnostics" value="off" />
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| <Option key="functionTolerance" value="1e-4" />
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| </Optimizer>
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| </source>
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| === MatlabPatternSearch ===
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| Matlab Pattern search (patternsearch function of Matlab Direct Search toolbox).
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| <source lang="xml">
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| <Optimizer type="MatlabPatternSearch">
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| <Option key="maxIterations" value="500" />
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| <Option key="maxFunEvals" value="100" />
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| <Option key="timeLimit" value="Inf" />
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| <Option key="meshTolerance" value="1e-4" />
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| <Option key="functionTolerance" value="1e-4" />
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| <Option key="maxMeshSize" value="Inf" />
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| <Option key="cache" value="on" />
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| <Option key="cacheTolerance" value="1e-6" />
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| </Optimizer>
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| </source>
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| === MatlabSimAnnealing ===
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| Matlab Simulated Annealing.
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| <source lang="xml">
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| <Optimizer type="MatlabSimAnnealing">
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| <Option key="AnnealingFcn" value="@annealingfast" />
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| <Option key="TemperatureFcn" value="@temperatureexp" />
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| <Option key="AcceptanceFcn" value="@acceptancesa" />
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| <Option key="TolFun" value="1.0000e-6" />
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| <Option key="StallIterLimit" value="500" />
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| <Option key="MaxFunEvals" value="1000" />
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| <Option key="TimeLimit" value="Inf" />
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| <Option key="MaxIter" value="Inf" />
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| <Option key="ObjectiveLimit" value="-Inf" />
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| </Optimizer>
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| </source>
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| === MatlabPSOt ===
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| Particle Swarm Optimization (needs PSOt toolbox).
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| <source lang="xml">
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| <Optimizer type="PSOtOptimizer">
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| <Option key="maxiters" value="200" />
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| <Option key="popSize" value="24" />
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| <Option key="acc_const1" value="2" />
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| <Option key="acc_const2" value="2" />
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| <Option key="initialInertiaWeight" value="0.9" />
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| <Option key="finalInertiaWeight" value="0.4" />
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| <Option key="epochInertia" value="150" />
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| <Option key="minGlobalError" value="1e-25" />
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| <Option key="gradientTermination" value="150" />
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| <Option key="errorGoal" value="NaN" />
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| <Option key="typePSO" value="0" />
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| <Option key="seedPSO" value="0" />
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| <Option key="mv" value="4" />
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| </Optimizer>
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| </source>
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| === Add a custom optimizer === | | === Add a custom optimizer === |
The SUMO Toolbox contains a whole hierarchy of optimizers that can be used by several components (for instance the EGO algorithm or the OptimizerModelBuilder).
A list of available optimizers is found in src/matlab/tools/Optimization/optimizers. Note that some optimizers need some external code available in the extension pack (or the Matlab Optimization toolbox).
A couple of example configurations are found here. These tags can be used in supported components as stated above. When a particular option is not given a sane default will be used. Full information about the several options can be found in the optimizer source code, implementation and corresponding papers.
Add a custom optimizer
In order to implement a new optimization algorithm one should only create one new class in src/matlab/tools/Optimization/optimizers. The class should be derived from the base class Optimizer and MUST implement at least the following functions:
- A constructor accepting one parameter (the configuration xml tag) OR a varargin
- [this, x, fval] = optimize(this, arg)
- Accepts a function handle OR a SUMO model to optimize. x and fval are the resulting optimum(s) and associated function value(s).
In addition the following methods COULD be implemented if appropriate:
- size = getPopulationSize(this)
- When implementing a population-based optimization algorithm
- this = setInputConstraints( this, con )
- When the algorithm supports constraints
It is advised to copy a simple existing optimizer and work from there. For example implementations, please see the provided optimizers. For instance, DifferentialEvolution is a good starting point. The optimizer can be used like:
<Optimizer type="CLASSNAME">
<Option key="option1" value="1" />
<Option key="option2" value="2" />
...
</Optimizer>
