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PDFO: Cross-Platform Interfaces for Powell's Derivative-Free Optimization Solvers

Tom M. Ragonneau; Zaikun Zhang

PDFO (Powell's Derivative-Free Optimization solvers) is a cross-platform package providing interfaces for using late Professor M. J. D. Powell's derivative-free optimization solvers, including UOBYQANEWUOABOBYQALINCOA, and COBYLA, which were originally implemented in Fortran 77.

Professor Powell devised these solvers to tackle general nonlinear optimization problems of continuous variables with or without constraints using only function values but not derivatives of the objective function or nonlinear constraint functions. In practice, such functions are often black boxes defined by simulations. Consequently, the corresponding optimization problems are often categorized as black-box optimization or simulation-based optimization. Problem specified by explicit formulas can probably be handled by other methods more efficiently. See the Decision Tree for Optimization Software for more information.

The current version of PDFO supports MATLAB and Python. It relies on MEX for MATLAB and F2PY for Python to compile the Fortran solvers and wrap them into user-friendly functions.

Based on Professor Powell's Fortran code, PDFO is developed by Tom M. Ragonneau and Zaikun Zhang at the Department of Applied Mathematicsthe Hong Kong Polytechnic University.

See the homepage of PDFO at https://pdfo.net for more information. 

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