Package org.hipparchus.optim.nonlinear.scalar.noderiv

Class SimplexOptimizer

java.lang.Object
org.hipparchus.optim.BaseOptimizer<P>
org.hipparchus.optim.BaseMultivariateOptimizer<PointValuePair>
org.hipparchus.optim.nonlinear.scalar.MultivariateOptimizer
org.hipparchus.optim.nonlinear.scalar.noderiv.SimplexOptimizer
public class SimplexOptimizer extends MultivariateOptimizer
This class implements simplex-based direct search optimization.

Direct search methods only use objective function values, they do not need derivatives and don't either try to compute approximation of the derivatives. According to a 1996 paper by Margaret H. Wright (Direct Search Methods: Once Scorned, Now Respectable), they are used when either the computation of the derivative is impossible (noisy functions, unpredictable discontinuities) or difficult (complexity, computation cost). In the first cases, rather than an optimum, a not too bad point is desired. In the latter cases, an optimum is desired but cannot be reasonably found. In all cases direct search methods can be useful.

Simplex-based direct search methods are based on comparison of the objective function values at the vertices of a simplex (which is a set of n+1 points in dimension n) that is updated by the algorithms steps.

The simplex update procedure (NelderMeadSimplex or MultiDirectionalSimplex) must be passed to the optimize method.

Each call to optimize will re-use the start configuration of the current simplex and move it such that its first vertex is at the provided start point of the optimization. If the optimize method is called to solve a different problem and the number of parameters change, the simplex must be re-initialized to one with the appropriate dimensions.

Convergence is checked by providing the worst points of previous and current simplex to the convergence checker, not the best ones.

This simplex optimizer implementation does not directly support constrained optimization with simple bounds; so, for such optimizations, either a more dedicated algorithm must be used like CMAESOptimizer or BOBYQAOptimizer, or the objective function must be wrapped in an adapter like MultivariateFunctionMappingAdapter or MultivariateFunctionPenaltyAdapter.
The call to optimize will throw MathRuntimeException if bounds are passed to it.

  • Constructor Details

    • SimplexOptimizer

      public SimplexOptimizer(ConvergenceChecker<PointValuePair> checker)
      Simple constructor.
      Parameters:
      checker - Convergence checker.

    • SimplexOptimizer

      public SimplexOptimizer(double rel, double abs)
      Simple constructor.
      Parameters:
      rel - Relative threshold.
      abs - Absolute threshold.

  • Method Details

    • optimize

      public PointValuePair optimize(OptimizationData... optData)
      Stores data and performs the optimization.

      The list of parameters is open-ended so that sub-classes can extend it with arguments specific to their concrete implementations.

      When the method is called multiple times, instance data is overwritten only when actually present in the list of arguments: when not specified, data set in a previous call is retained (and thus is optional in subsequent calls).

      Important note: Subclasses must override BaseOptimizer.parseOptimizationData(OptimizationData[]) if they need to register their own options; but then, they must also call super.parseOptimizationData(optData) within that method.

      Overrides:
      optimize in class MultivariateOptimizer
      Parameters:
      optData - Optimization data. In addition to those documented in MultivariateOptimizer, this method will register the following data:
      Returns:
      a point/value pair that satisfies the convergence criteria.

    • doOptimize

      protected PointValuePair doOptimize()
      Performs the bulk of the optimization algorithm.
      Specified by:
      doOptimize in class BaseOptimizer<PointValuePair>
      Returns:
      the point/value pair giving the optimal value of the objective function.

    • parseOptimizationData

      protected void parseOptimizationData(OptimizationData... optData)
      Scans the list of (required and optional) optimization data that characterize the problem.
      Overrides:
      parseOptimizationData in class MultivariateOptimizer
      Parameters:
      optData - Optimization data. The following data will be looked for: