NOMAD.jl

NOMAD is Julia package interfacing to NOMAD, which is a C++ implementation of the Mesh Adaptive Direct Search algorithm (MADS), designed for difficult blackbox optimization problems. These issues occur when the functions defining the objective and constraints are the result of costly computer simulations. NOMAD.jl documentation

The NOMAD algorithm is called by NOMADOpt()

Installation: OptimizationNOMAD.jl

To use this package, install the OptimizationNOMAD package:

import Pkg;
Pkg.add("OptimizationNOMAD");

Global Optimizer

Without Constraint Equations

The method in NOMAD is performing global optimization on problems both with and without constraint equations. However, linear and nonlinear constraints defined in Optimization are currently not passed.

NOMAD works both with and without lower and upper box-constraints set by lb and ub in the OptimizationProblem.

Examples

The Rosenbrock function can be optimized using the NOMADOpt() with and without box-constraints as follows:

using Optimization, OptimizationNOMAD
rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
x0 = zeros(2)
p = [1.0, 100.0]
f = OptimizationFunction(rosenbrock)

prob = OptimizationProblem(f, x0, p)
sol = Optimization.solve(prob, NOMADOpt())

prob = OptimizationProblem(f, x0, p, lb = [-1.0, -1.0], ub = [1.5, 1.5])
sol = Optimization.solve(prob, NOMADOpt())