Crate simplers_optimization

A Rust implementation of the Simple(x) global optimization algorithm.

This algorithm, which should not be confused with the simplex algorithm, is closest to bayesian optimization. Its strengths compared to bayesian optimization are the ability to deal with a large number of sample and high dimension efficiently.

There are two ways to use the algorithm, either use one of the Optimizer::minimize / Optimizer::maximize functions :

let f = |v:&[f64]| v[0] + v[1] * v[2];
let input_interval = vec![(-10., 10.), (-20., 20.), (0., 5.)];
let nb_iterations = 100;

let (max_value, coordinates) = Optimizer::maximize(f, input_interval, nb_iterations);
println!("max value: {} found in [{}, {}, {}]", max_value, coordinates[0], coordinates[1], coordinates[2]);

Or use an iterator if you want to set exploration_depth to an exotic value or to have fine grained control on the stopping criteria :

let f = |v:&[f64]| v[0] * v[1];
let input_interval = vec![(-10., 10.), (-20., 20.)];
let should_minimize = true;

// sets `exploration_depth` to be greedy
// runs the search for 30 iterations
// then waits until we find a point good enough
// finally stores the best value so far
let (min_value, coordinates) = Optimizer::new(f, input_interval, should_minimize)
                                       .set_exploration_depth(10)
                                       .skip(30)
                                       .take_while(|(value,coordinates)| value > 1. )
                                       .next().unwrap();

println!("min value: {} found in [{}, {}]", min_value, coordinates[0], coordinates[1]);

Structs

Optimizer

Stores the parameters and current state of a search.