Black-box optimization on hyper-rectangle using Recursive Modified Pattern Search and application to ROC-based Classification Problem

In Statistics, multi-modal and non-smooth likelihood (or, objective function) maximization problems often arise with known upper and lower bound of the parameters. A novel derivative-free global optimization technique is developed to optimize any black-box function on a hyper-rectangular euclidean space. In literature, pattern search technique has been shown to be a powerful tool for blackbox optimization. The proposed algorithm follows the principle of pattern search technique where new updated solution is obtained from the current solution making movements (within the constrained sample space) along the coordinates. Before making a jump from the current solution point to a new solution point, objective function is evaluated in several neighborhood points around the current solution and the best solution point is chosen based on the objective function values at those points. Parallel threading can be used to make the algorithm more scalable. Performance of the proposed method is evaluated based on optimization of upto 5000 dimensional multi-modal benchmark functions. The proposed algorithm is shown to perform upto 40 and 368 times faster compared to Genetic Algorithm (GA) and Simulated Annealing (SA) respectively. The proposed method is used to estimate the optimal biomarker combination from Alzheimer data by maximizing the empirical estimates of area under ROC curve

State-of-the-art in aerodynamic shape optimisation methods

Aerodynamic optimisation has become an indispensable component for any aerodynamic design over the past 60 years, with applications to aircraft, cars, trains, bridges, wind turbines, internal pipe flows, and cavities, among others, and is thus relevant in many facets of technology. With advancements in computational power, automated design optimisation procedures have become more competent, however, there is an ambiguity and bias throughout the literature with regards to relative performance of optimisation architectures and employed algorithms. This paper provides a well-balanced critical review of the dominant optimisation approaches that have been integrated with aerodynamic theory for the purpose of shape optimisation. A total of 229 papers, published in more than 120 journals and conference proceedings, have been classified into 6 different optimisation algorithm approaches. The material cited includes some of the most well-established authors and publications in the field of aerodynamic optimisation. This paper aims to eliminate bias toward certain algorithms by analysing the limitations, drawbacks, and the benefits of the most utilised optimisation approaches. This review provides comprehensive but straightforward insight for non-specialists and reference detailing the current state for specialist practitioners

Efficient methods of automatic calibration for rainfall-runoff modelling in the Floreon+ system

Calibration of rainfall-runoff model parameters is an inseparable part of hydrological simulations. To achieve more accurate results of these simulations, it is necessary to implement an efficient calibration method that provides sufficient refinement of the model parameters in a reasonable time frame. In order to perform the calibration repeatedly for large amount of data and provide results of calibrated model simulations for the flood warning process in a short time, the method also has to be automated. In this paper, several local and global optimization methods are tested for their efficiency. The main goal is to identify the most accurate method for the calibration process that provides accurate results in an operational time frame (typically less than 1 hour) to be used in the flood prediction Floreon(+) system. All calibrations were performed on the measured data during the rainfall events in 2010 in the Moravian-Silesian region (Czech Republic) using our in-house rainfall-runoff model.Web of Science27441339

A Global Optimisation Toolbox for Massively Parallel Engineering Optimisation

A software platform for global optimisation, called PaGMO, has been developed within the Advanced Concepts Team (ACT) at the European Space Agency, and was recently released as an open-source project. PaGMO is built to tackle high-dimensional global optimisation problems, and it has been successfully used to find solutions to real-life engineering problems among which the preliminary design of interplanetary spacecraft trajectories - both chemical (including multiple flybys and deep-space maneuvers) and low-thrust (limited, at the moment, to single phase trajectories), the inverse design of nano-structured radiators and the design of non-reactive controllers for planetary rovers. Featuring an arsenal of global and local optimisation algorithms (including genetic algorithms, differential evolution, simulated annealing, particle swarm optimisation, compass search, improved harmony search, and various interfaces to libraries for local optimisation such as SNOPT, IPOPT, GSL and NLopt), PaGMO is at its core a C++ library which employs an object-oriented architecture providing a clean and easily-extensible optimisation framework. Adoption of multi-threaded programming ensures the efficient exploitation of modern multi-core architectures and allows for a straightforward implementation of the island model paradigm, in which multiple populations of candidate solutions asynchronously exchange information in order to speed-up and improve the optimisation process. In addition to the C++ interface, PaGMO's capabilities are exposed to the high-level language Python, so that it is possible to easily use PaGMO in an interactive session and take advantage of the numerous scientific Python libraries available.Comment: To be presented at 'ICATT 2010: International Conference on Astrodynamics Tools and Techniques