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.
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
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
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