Asynchronous Parallel Pattern Search
Released December 15, 2005
APPSPACK is serial or parallel, derivative-free optimization software for solving nonlinear unconstrained and bound-constrained optimization problems, with possibly noisy and expensive objective functions. The basic optimization problem is of the form
Here and . (The upper and lower bounds are each optional on an component-by-component basis.) To find a solution of this problem, APPSPACK implements asynchronous parallel pattern search, which uses a pattern of search directions to drive the search and determine new trial points for evaluation. APPSPACK is written in C++ and uses MPI for parallelism. Using APPSPACK to solve optimization problems has the following advantages:
Only function values are required for the optimization, so it can be applied to a wide variety of problems. The user need simply provide a program (written in any language such as Fortran, C, C++, Perl, etc.) that can evaluate the objective function at a given point.
The target applications are simulation-based optimization problems characterized by a small number of variables (i.e., n < 100) and by expensive objective function evaluations (typically complex simulations that take minutes or hours to run). The procedure for evaluating the objective function does not need to be encapsulated in a subroutine and can, in fact, be an entirely separate program.
The code can be run in parallel on a cluster of computers, greatly reducing the total solution time. Parallelism is achieved by assigning the individual function evaluations to different processors. The (optional) asynchronism enables better load balancing.
The software is freely available under the terms of the GNU Lesser General Public License.
Key words: optimization, derivative-free, parallel, direct search, pattern search, engineering design
The following people have contributed code to APPSPACK:
Tamara G. Kolda, Sandia National Labs, firstname.lastname@example.org
Patricia D. Hough, Sandia National Labs, email@example.com
Genetha Gray, Sandia National Labs, firstname.lastname@example.org
Robert Darwin (Sandia Summer Intern, 2004)
Daniel Dunlavy (Sandia Summer Intern, 2001)
H. Alton Patrick (Sandia Summer Intern, 2000)
Sarah Brown (Sandia Summer Intern, 2000)
Please contact Tamara G. Kolda
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