[SciPy-Dev] Global Optimization Benchmarks

[Andrea Gavana]

Hi Daniel,

On Sat, 9 Jan 2021 at 08.37, Daniel Schmitz <
danielschmitzsiegen at googlemail.com> wrote:

> Awesome work, Andrea!
>

Thank you, I’m happy you liked it :-) . I have been told to try and
condense the work in a paper and submit it to the Journal of Global
Optimization, although I’m currently doubting that such a prestigious
publication will accept a publication from a nobody like me.


> Would it be possible for you to make your implementations of mcs and
> biteopt publicly available?
>

For BiteOpt I might be able to - after a bit of polishing, nothing major.
For both I’ll have to ask for permission from my employer, as it was a
little tour the force getting MCS right.


And more out of curiosity, not directly related to scipy: since you work in
> an industry setting, did you compare these open source optimizers against
> commercial ones like knitro?
>

Unfortunately we don’t have any commercial solver available - as far as I
know - but I would love to redo the work using other solvers (open source
or not). The very interesting exercise from Sahinidis et al:

https://link.springer.com/content/pdf/10.1007/s10898-012-9951-y.pdf

Although limited to a single set of benchmarks, show that commercial
solvers like Tomlab are very efficient, tightly followed by MCS. It would
be nice to try and apply the solvers in KNITRO, Tomlab, GlobSol (others?)
to all the 16 benchmarks to see where open source stands, but I have no
idea how it could be done as I have no licenses for those.

Andrea.



> Cheers,
>
> Daniel
>
> On Fri, 8 Jan 2021 at 12:28, Ralf Gommers <ralf.gommers at gmail.com> wrote:
>
>>
>>
>> On Fri, Jan 8, 2021 at 12:20 PM Andrea Gavana <andrea.gavana at gmail.com>
>> wrote:
>>
>>> Hi Ralf,
>>>
>>> On Fri, 8 Jan 2021 at 12:15, Ralf Gommers <ralf.gommers at gmail.com>
>>> wrote:
>>>
>>>>
>>>>
>>>> On Fri, Jan 8, 2021 at 11:35 AM Andrea Gavana <andrea.gavana at gmail.com>
>>>> wrote:
>>>>
>>>>> Hi Ralf,
>>>>>
>>>>> On Fri, 8 Jan 2021 at 11:07, Ralf Gommers <ralf.gommers at gmail.com>
>>>>> wrote:
>>>>>
>>>>>>
>>>>>>
>>>>>> On Fri, Jan 8, 2021 at 10:21 AM Andrea Gavana <
>>>>>> andrea.gavana at gmail.com> wrote:
>>>>>>
>>>>>>> Dear SciPy Developers & Users,
>>>>>>>
>>>>>>>     long time no see :-) . I thought to start 2021 with a bit of a
>>>>>>> bang, to try and forget how bad 2020 has been... So I am happy to present
>>>>>>> you with a revamped version of the Global Optimization Benchmarks from my
>>>>>>> previous exercise in 2013.
>>>>>>>
>>>>>>
>>>>>> Hi Andrea, this is awesome! Thanks for sharing!
>>>>>>
>>>>>
>>>>> I am happy you like it :-) .
>>>>>
>>>>>
>>>>>
>>>>>> This could be really useful to link to and use as a guide for
>>>>>> providing recommendations for solvers to use in the scipy.optimize
>>>>>> tutorials. It's good to see that SciPy overall is much more competitive
>>>>>> than it was in 2013. Overall it seems SHGO is our most accurate solver, and
>>>>>> making it faster seems worthwhile. That shouldn't be very difficult, given
>>>>>> that it's all pure Python still.
>>>>>>
>>>>>
>>>>> I have to say that, compared to back in 2013, the addition of SHGO and
>>>>> DualAnnealing to SciPy has made the global optimization world in SciPy much
>>>>> more powerful, pretty much at the top of what can currently be done with
>>>>> open source solvers.
>>>>>
>>>>>
>>>>>> MCS isn't open source, but both DIRECT and BiteOpt are MIT-licensed
>>>>>> and seem the best candidates to be considered for inclusion in SciPy.
>>>>>>
>>>>>
>>>>> I couldn't find a license restriction for MCS, but maybe I haven't
>>>>> looked hard enough... Do you have a link for it? I am just curious.
>>>>>
>>>>
>>>> MCS itself doesn't contain any license information, but it depends on
>>>> MINQ which has a link in "All versions of MINQ are licensed" on this page:
>>>> https://www.mat.univie.ac.at/~neum/software/minq/. It's only free for
>>>> non-commercial use.
>>>>
>>>
>>>
>>> Ah, OK, thank you, I didn't think about that. Of course, assuming SciPy
>>> had another, different "bound constrained indefinite quadratic programming"
>>> module then we could easily swap it :-) .
>>>
>>
>> MCS and MINQ are from the same author, so I'd expect the same restriction
>> to apply to MCS though. We could ask for permission to license all that
>> under BSD/MIT, sometimes that works - the author seems like the typical
>> academic who doesn't understand open source licensing. In the past we've
>> had success with explaining; given how much extra exposure/users MCS gets
>> if it would be included in SciPy, it may be worth doing if someone is
>> motivated to work on integrating MCS into SciPy.
>>
>> Cheers,
>> Ralf
>>
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