Re: [Help-gsl] Black-Box Optimization

[John Pye]

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,
>