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Algorithms

DIRECT

The DIRECT algorithm is a deterministic global optimization heuristic introduced by Donald Jones, where he inended o have an easy to explain algorithm to be used for optimization purposes within General Motors. As the tiele explained, it was inspired by Lipschitz constant ideas and it used RECtangles. I had the joy to discuss the ideas from the beginning arguing that actually, it has nothing to do with the Lipschitz constant and actually neither with rectangles. However, what I like about it, is that it most explicitly decides on a trade off between low function values and unexploited area. in a simple bi-criterion way.
Also here, many variants have been suggested, but the basic idea is most explicit in its choices.

Scientific Area:
MatLab, Other, Python

Language/Environments:
Optimization

Target Group:
Basic

Link:
The first implementations were actually in Fortran
https://github.com/rlnx/DiRect
Later, Kenneth Hölmstrom even wanted to make money out of it
https://www.mat.univie.ac.at/~neum/glopt/mss/BjoeH99.pdf

Cite as:
Jones, D. R., Perttunen, C. D., and Stuckman, B. E.: ‘Lipschitzian optimization without the Lipschitz constant’, J. Optim. Th. Appl.73, no. 1 (1993), 157–181.

Author of the review:
Eligius Hendrix
University of Malaga


Reviews

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