genie_direct

Classical high-dimensional global Lipschitzian optimization Classical high-dimensional global Lipschitzian optimization

Specification

• Alias: None

• Arguments: None

Child Keywords:

Required/Optional	Description of Group	Dakota Keyword	Dakota Keyword Description
Optional		seed	Seed of the random number generator
Optional		max_function_evaluations	Number of function evaluations allowed for optimizers
Optional		scaling	Turn on scaling for variables, responses, and constraints
Optional		model_pointer	Identifier for model block to be used by a method

Description

DIRECT (DIviding RECTangles) partitions the domain into hyperrectangles and uses an iterative Lipschitzian optimization approach to search for a global optimal point.

DIRECT begins by scaling the domain into the unit hypercube by adopting a center-sampling strategy. The objective function is evaluated at the midpoint of the domain, where a lower bound is constructed. In one-dimension, the domain is tri-sected and two new center points are sampled. At each iteration (dividing and sampling), DIRECT identifies intervals that contain the best minimal value of the objective function found up to that point. This strategy of selecting and dividing gives DIRECT its performance and convergence properties compared to other deterministic methods.

The classical DIRECT method [Shubert 1972] has two limitations: poor scaling to high dimensions; and relying on a global K; whose exact value is often unknown. The enhanced DIRECT algorithm [Jones et al. 1993] generalizes [Shubert 1972] to higher dimensions and does not require knowledge of the Lipschitz constant.