egobox

Rust toolbox for Efficient Global Optimization algorithms inspired from SMT. This library provides a port of the following algorithms:

• doe, sampling methods: LHS, FullFactorial, Random
• gp, gaussian process regression: Kriging and KPLS surrogates
• moe, mixture of experts using kriging models
• ego, efficient global optimization with basic constraints and mixed integer handling

Usage

Examples can be run as follows:

$ cd doe && cargo run --example samplings --release

gp, moe and ego modules relies on linfa BLAS/Lapack backend features.

Using the Intel MKL BLAS/Lapack backend, you can run :

$ cd gp && cargo run --example kriging --release --features linfa/intel-mkl-static

$ cd moe && cargo run --example clustering --release --features linfa/intel-mkl-static

$ cd ego && cargo run --example ackley --release --features linfa/intel-mkl-static

Thanks to the PyO3 project, which makes Rust well suited for building Python extensions, the EGO algorithm written in Rust (aka egor) is binded in Python. You can install the Python package using:

$ pip install egobox

See the tutorial notebook for usage.

Why egobox?

I started this library as a way to learn Rust and see if it can be used to implement algorithms like those in the SMT toolbox[^1]. As the first components (doe, gp) emerged, it appeears I could translate Python code almost line by line in Rust (well... after great deal of borrow-checker fight!) and thanks to Rust ndarray library ecosystem.

This library relies also on the linfa project which aims at being the "scikit-learn-like ML library for Rust". Along the way I could contribute to linfa by porting gaussian mixture model (linfa-clustering/gmm) and partial least square family methods (linfa-pls) confirming the fact that Python algorithms translation in Rust could be pretty straightforward.

While I did not benchmark my Rust code against SMT Python one, from my debugging sessions, I noticed I did not get such a great speed up. Actually, algorithms like doe and gp relies extensively on linear algebra and Python famous libraries numpy/scipy which are strongly optimized by calling C or Fortran compiled code.

My guess at this point is that interest could come from other Rust algorithms built upon these initial building blocks hence I started to implement mixture of experts algorithm (moe) and on top bayesian optimization EGO algorithm (ego) which gives its name to the library[^2]. Aside from performance, such library benefits from Rust others selling points, namely reliability and productivity.

Cite

If you happen to find this Rust library useful for your research, you can cite this project as follows:

@Misc{,
  author = {Rémi Lafage},
  title = {Egobox: efficient global optimization toolbox in Rust},
  year = {2020--},
  url = "https://github.com/relf/egobox"
}

[^1]: M. A. Bouhlel and J. T. Hwang and N. Bartoli and R. Lafage and J. Morlier and J. R. R. A. Martins. A Python surrogate modeling framework with derivatives. Advances in Engineering Software, 2019.

[^2]: Bartoli, Nathalie, et al. "Adaptive modeling strategy for constrained global optimization with application to aerodynamic wing design." Aerospace Science and technology 90 (2019): 85-102.