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

Tom M. Ragonneau; Zaikun Zhang


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    <subfield code="a">PDFO: Cross-Platform Interfaces for Powell's Derivative-Free Optimization Solvers</subfield>
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    <subfield code="a">&lt;p&gt;&lt;a href="https://pdfo.net"&gt;PDFO&lt;/a&gt; (Powell&amp;#39;s Derivative-Free Optimization solvers) is a cross-platform package providing interfaces for using late Professor&amp;nbsp;&lt;a href="https://www.zhangzk.net/powell.html"&gt;M. J. D. Powell&lt;/a&gt;&amp;#39;s&amp;nbsp;&lt;a href="https://en.wikipedia.org/wiki/Derivative-free_optimization"&gt;derivative-free optimization&lt;/a&gt;&amp;nbsp;solvers, including&amp;nbsp;&lt;a href="https://en.wikipedia.org/wiki/UOBYQA"&gt;UOBYQA&lt;/a&gt;,&amp;nbsp;&lt;a href="https://en.wikipedia.org/wiki/NEWUOA"&gt;NEWUOA&lt;/a&gt;,&amp;nbsp;&lt;a href="https://en.wikipedia.org/wiki/BOBYQA"&gt;BOBYQA&lt;/a&gt;,&amp;nbsp;&lt;a href="https://en.wikipedia.org/wiki/LINCOA"&gt;LINCOA&lt;/a&gt;, and&amp;nbsp;&lt;a href="https://en.wikipedia.org/wiki/COBYLA"&gt;COBYLA&lt;/a&gt;, which were originally implemented in Fortran 77.&lt;/p&gt;

&lt;p&gt;Professor Powell devised these solvers to tackle&amp;nbsp;&lt;a href="http://plato.asu.edu/sub/nlores.html#general"&gt;general nonlinear optimization problems&lt;/a&gt;&amp;nbsp;of continuous variables with or without constraints using only&amp;nbsp;&lt;a href="http://www.damtp.cam.ac.uk/user/na/NA_papers/NA2007_03.pdf"&gt;function values but not derivatives&lt;/a&gt;&amp;nbsp;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&amp;nbsp;&lt;a href="https://en.wikipedia.org/wiki/Derivative-free_optimization"&gt;black-box optimization&lt;/a&gt;&amp;nbsp;or&amp;nbsp;&lt;a href="https://en.wikipedia.org/wiki/Simulation-based_optimization"&gt;simulation-based optimization&lt;/a&gt;. Problem specified by explicit formulas can probably be handled by other methods more efficiently. See the&amp;nbsp;&lt;a href="http://plato.asu.edu/sub/nlores.html#general"&gt;Decision Tree for Optimization Software&lt;/a&gt;&amp;nbsp;for more information.&lt;/p&gt;

&lt;p&gt;The current version of PDFO supports MATLAB and Python. It relies on&amp;nbsp;&lt;a href="https://www.mathworks.com/help/matlab/ref/mex.html"&gt;MEX&lt;/a&gt;&amp;nbsp;for MATLAB and&amp;nbsp;&lt;a href="https://docs.scipy.org/doc/numpy/f2py/"&gt;F2PY&lt;/a&gt;&amp;nbsp;for Python to compile the Fortran solvers and wrap them into user-friendly functions.&lt;/p&gt;

&lt;p&gt;Based on Professor Powell&amp;#39;s Fortran code, PDFO is developed by&amp;nbsp;&lt;a href="https://www.tom-ragonneau.co/"&gt;Tom M. Ragonneau&lt;/a&gt;&amp;nbsp;and&amp;nbsp;&lt;a href="https://www.zhangzk.net/"&gt;Zaikun Zhang&lt;/a&gt;&amp;nbsp;at the&amp;nbsp;&lt;a href="https://www.polyu.edu.hk/ama"&gt;Department of Applied Mathematics&lt;/a&gt;,&amp;nbsp;&lt;a href="https://www.polyu.edu.hk/"&gt;the Hong Kong Polytechnic University&lt;/a&gt;.&lt;/p&gt;

&lt;p&gt;See the homepage of PDFO at &lt;a href="https://pdfo.net"&gt;https://pdfo.net&lt;/a&gt;&amp;nbsp;for more information.&amp;nbsp;&lt;/p&gt;</subfield>
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