What global minimization/maximization algorithms do you use?

This site seems to compare various global optimization methods on different test problems (with visualization of “energy landscape”).

Global Optimization Benchmarks
Global Optimization Benchmarks — Global Optimization Benchmarks 0.1.0 documentation

Also some blog posts about Python global optimization packages.

2 Likes

nlopt, cobyla, minpack, slsqp, pgapack, pikaia

1 Like

A number of these implement local optimization algorithms, not global ones, although you can increase the chance of finding the global optimum by calling them with multiple initial guesses.

1 Like

Some time ago I rewrote in modern Fortran the function fminsearch from Matlab, that implements Nelder Mead.

A lot of the popular global optimization algorithms seem to struggle with higher dimension problems (like more than 10 unknowns). If you pair that with a problem that involves some non trivial time to compute a solution (simulations where a single run takes minutes, hours, or days+ to complete), I’ve personally struggled to find anything that seemed significantly better than randomly guessing around the hypothesis “good region”

1 Like