1 From-scratch re-implementation of the DIRECT and DIRECT-L algorithms
4 D. R. Jones, C. D. Perttunen, and B. E. Stuckmann,
5 "Lipschitzian optimization without the lipschitz constant,"
6 J. Optimization Theory and Applications, vol. 79, p. 157 (1993).
8 J. M. Gablonsky and C. T. Kelley, "A locally-biased form
9 of the DIRECT algorithm," J. Global Optimization 21 (1),
12 I re-implemented the algorithms for a couple of reasons. First,
13 because I was interested in the algorithms and wanted to play with
14 them by trying some variations (originally, because I wanted to
15 experiment with a hybrid approach combining DIRECT with local search
16 algorithms, see hybrid.c). Second, I wanted to remove some arbitrary
17 restrictions in the original Fortran code, e.g. a fixed upper bound on
18 the number of function evaluations. Third, because it was fun to
19 code. As far as I can tell, my version converges in about the same
20 number of iterations as Gablonsky's code (with occasional slight
21 differences due to minor differences in how I break ties, etc.).
23 The code in this directory is under the same MIT license as the rest
24 of my code in NLopt (see ../COPYRIGHT).