[RBFOpt] Problem with 20d rosenbrock function

Tue Nov 20 11:04:23 EST 2018

Hi Giacomo,

thank you for getting back to me.

I have attached the log-file together with a file which I am writing out myself (adding one line for each function call) with iteration number, variable values and objective function value.

In addition I have plotted the objective function over the variables: As you can see the optimizer is in the phase where it needs to shift all variables towards “1”. It has only done that for v1, v2 and v3 so far. The residual will stay high until this has happened for all variables (at least this is what happens with other optimizers). So this behavior is in principle OK, but progress is pretty slow because parallelization is kind of lost and it looks like many function evaluations will be necessary to reach the optimum.

Also it looks like the global evaluations are kind of wasteful here because they don’t seem to contribute to the progress of the optimizer at this stage. The values around 15 are all “refinement” evaluations.

[cid:image001.jpg at 01D480F3.14969C50]

[cid:image002.jpg at 01D480F3.14969C50]

and so on.

BTW, the calculation has been running for 18h now.

Best regards,

Andreas

-----Original Message-----
From: Giacomo Nannicini <giacomo.n at gmail.com>
Sent: Tuesday, November 20, 2018 12:42 PM
To: Sattler, Dr. Andreas <Andreas.Sattler at siltronic.com>
Cc: rbfopt at list.coin-or.org
Subject: Re: [RBFOpt] Problem with 20d rosenbrock function

Hi Andreas,

can you post the log to understand where and how it gets stuck?

Regarding the number of parallel evaluations: that's because in this example the function evaluates almost instantaneously, so the library never has the time to fill all the CPUs . In any case, it is unlikely that it will be able to exploit 20 CPUs to good use: it does pre-emptive evaluation of the points that are likely to be evaluated in the future, but I am not sure it will be able to predict correctly

20 points in the future.

G

On Tue, Nov 20, 2018 at 5:29 AM Sattler, Dr. Andreas <Andreas.Sattler at siltronic.com<mailto:Andreas.Sattler at siltronic.com>> wrote:

>

> Dear all,

>

>

>

> I was very happy with the performance of RBFopt when testing it on the

> 2D rosenbrock function, the number of function evaluations was very

> competitive! (150-300 evaluations)

>

>

>

> Then I went on to test it on a 20D rosenbrock function (because for production use I need to optimize in similar dimensions):

>

>

>

> n = self.dimension

>

> value=0;

>

> for i in range(0,19):

>

>    value += 100 * (x[i]*x[i] -x[i+1])*(x[i]*x[i] -x[i+1]) +

> (x[i]-1)*(x[i]-1);

>

>

>

> I ran it using these options:

>

>

>

> rbfopt_cl_interface.py --max_iterations=150000

> --max_evaluations=150000 --max_cycles=100000

> --global_search_method=sampling --num_cpus=20 --algorithm=MSRSM

> --eps_opt=1e-3 --num_global_searches=5 --target_objval=0

> --log=example2.log  rbfopt_black_box_example2.py

>

>

>

> Unfortunately, the optimization got kinda stuck after a few thousand iterations.

>

> Also, there are very few parallel function evaluations left (about 2), slowing down the progress further.

>

>

>

> Has anyone successfully run RBFopt on this or a similar test problem?

>

> Maybe I am doing something wrong? Any ideas?

>

>

>

> Best regards,

>

> Andreas

>

>

>

>

>

>

>

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Thank you for your cooperation.

Siltronic AG, Sitz München, Hanns-Seidel-Platz 4, 81737 München, Germany. Amtsgericht München HRB 150884

Vorstand: Christoph von Plotho (Vorsitz), Rainer Irle. Vorsitzender des Aufsichtsrats: Tobias Ohler
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