Re: [Help-gsl] Black-Box Optimization

[Sumit Adhikari]

Hello John,

Thanks for the reply and feedback. I am studying about it. My target is to
use a optimization engine.
I am in a ocean now (where I never wanted to be :( ). Let us see how it
will go.....

Regards,
Sumit


On Tue, Nov 15, 2011 at 1:52 PM, John Pye <address@hidden> wrote:

> Sumit
>
> I am by no means an authority on optimisation algorithms, however from
> the programming perspective, I do know the following: you need to know
> if your blackbox problem is:
>
>  * constrained or not (are the extra equations limiting the feasible
>    sets of input parameters)
>  * allowable range of input parameters
>  * domain over which your parameters must be set (integers, real, bool
>    -- or a mixture)
>  * is your objective function smooth or piecewise smooth.
>  * is your objective function concave or convex, or can't say
>  * can your blackbox function provide you with derivatives and second
>    derivatives of your object function (and constraints, if applicable)
>    with respect to the different input parameters.
>  * probably lots of other consideration too.
>
> I suggest that you might be dipping your toe into the ocean of
> optimisation, perhaps in order to solve a problem that you have, but
> that without learning a bit more about the difficulties and challenges
> of this are, your approach to solving your high-level problem will be
> flawed.
>
> Cheers
> JP
>
>
> On 15/11/11 23:11, Sumit Adhikari wrote:
> > Dear All,
> >
> > I have a black-box (whose function is not known). I want to optimize
> > (minimize) the parameters (say {p}) which are input to the black-box.
> >
> > What could be the best method to use ?
> >
> > Please note : that the selection of algorithm should be generic as the
> > implementation of the black box can be anything.
> >
> > Regards,
> >
>
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-- 
Sumit Adhikari,
Institute of Computer Technology,
Faculty of Electrical Engineering,
Vienna University of Technology,
Gußhausstraße 27-29,1040 Vienna