COCO: Performance Assessment

We present an any-time performance assessment for benchmarking numerical optimization algorithms in a black-box scenario, applied within the COCO benchmarking platform. The performance assessment is based on runtimes measured in number of objective function evaluations to reach one or several quality indicator target values. We argue that runtime is the only available measure with a generic, meaningful, and quantitative interpretation. We discuss the choice of the target values, runlength-based targets, and the aggregation of results by using simulated restarts, averages, and empirical distribution functions

COCO: A Platform for Comparing Continuous Optimizers in a Black-Box Setting

We introduce COCO, an open source platform for Comparing Continuous Optimizers in a black-box setting. COCO aims at automatizing the tedious and repetitive task of benchmarking numerical optimization algorithms to the greatest possible extent. The platform and the underlying methodology allow to benchmark in the same framework deterministic and stochastic solvers for both single and multiobjective optimization. We present the rationales behind the (decade-long) development of the platform as a general proposition for guidelines towards better benchmarking. We detail underlying fundamental concepts of COCO such as the definition of a problem as a function instance, the underlying idea of instances, the use of target values, and runtime defined by the number of function calls as the central performance measure. Finally, we give a quick overview of the basic code structure and the currently available test suites.Comment: Optimization Methods and Software, Taylor & Francis, In press, pp.1-3

Analysis of Different Types of Regret in Continuous Noisy Optimization

The performance measure of an algorithm is a crucial part of its analysis. The performance can be determined by the study on the convergence rate of the algorithm in question. It is necessary to study some (hopefully convergent) sequence that will measure how "good" is the approximated optimum compared to the real optimum. The concept of Regret is widely used in the bandit literature for assessing the performance of an algorithm. The same concept is also used in the framework of optimization algorithms, sometimes under other names or without a specific name. And the numerical evaluation of convergence rate of noisy algorithms often involves approximations of regrets. We discuss here two types of approximations of Simple Regret used in practice for the evaluation of algorithms for noisy optimization. We use specific algorithms of different nature and the noisy sphere function to show the following results. The approximation of Simple Regret, termed here Approximate Simple Regret, used in some optimization testbeds, fails to estimate the Simple Regret convergence rate. We also discuss a recent new approximation of Simple Regret, that we term Robust Simple Regret, and show its advantages and disadvantages.Comment: Genetic and Evolutionary Computation Conference 2016, Jul 2016, Denver, United States. 201

A hybrid swarm-based algorithm for single-objective optimization problems involving high-cost analyses

In many technical fields, single-objective optimization procedures in continuous domains involve expensive numerical simulations. In this context, an improvement of the Artificial Bee Colony (ABC) algorithm, called the Artificial super-Bee enhanced Colony (AsBeC), is presented. AsBeC is designed to provide fast convergence speed, high solution accuracy and robust performance over a wide range of problems. It implements enhancements of the ABC structure and hybridizations with interpolation strategies. The latter are inspired by the quadratic trust region approach for local investigation and by an efficient global optimizer for separable problems. Each modification and their combined effects are studied with appropriate metrics on a numerical benchmark, which is also used for comparing AsBeC with some effective ABC variants and other derivative-free algorithms. In addition, the presented algorithm is validated on two recent benchmarks adopted for competitions in international conferences. Results show remarkable competitiveness and robustness for AsBeC.Comment: 19 pages, 4 figures, Springer Swarm Intelligenc

Sparse Automatic Differentiation for Large-Scale Computations Using Abstract Elementary Algebra

Most numerical solvers and libraries nowadays are implemented to use mathematical models created with language-specific built-in data types (e.g. real in Fortran or double in C) and their respective elementary algebra implementations. However, built-in elementary algebra typically has limited functionality and often restricts flexibility of mathematical models and analysis types that can be applied to those models. To overcome this limitation, a number of domain-specific languages with more feature-rich built-in data types have been proposed. In this paper, we argue that if numerical libraries and solvers are designed to use abstract elementary algebra rather than language-specific built-in algebra, modern mainstream languages can be as effective as any domain-specific language. We illustrate our ideas using the example of sparse Jacobian matrix computation. We implement an automatic differentiation method that takes advantage of sparse system structures and is straightforward to parallelize in MPI setting. Furthermore, we show that the computational cost scales linearly with the size of the system.Comment: Submitted to ACM Transactions on Mathematical Softwar