NLopt

class NLopt(*args)

Interface to NLopt.

This class exposes the solvers from the non-linear optimization library [nlopt2009].

More details about available algorithms are available here.

Parameters:
problemOptimizationProblem

Optimization problem to solve.

algoNamestr

The NLopt identifier of the algorithm. Use GetAlgorithmNames() to list available names.

See also

AbdoRackwitz, Cobyla, SQP, TNC

Notes

Here are some properties of the different algorithms:

Algorithm

Derivative info

Constraint support

AUGLAG

no derivative

all

AUGLAG_EQ

no derivative

all

GD_MLSL

first derivative

bounds required

GD_MLSL_LDS

first derivative

bounds required

GD_STOGO (disabled)

first derivative

bounds required

GD_STOGO_RAND (disabled)

first derivative

bounds required

GN_AGS (disabled)

no derivative

bounds required, inequality

GN_CRS2_LM

no derivative

bounds required

GN_DIRECT

no derivative

bounds required

GN_DIRECT_L

no derivative

bounds required

GN_DIRECT_L_NOSCAL

no derivative

bounds required

GN_DIRECT_L_RAND

no derivative

bounds required

GN_DIRECT_L_RAND_NOSCAL

no derivative

bounds required

GN_ESCH

no derivative

bounds required

GN_ISRES

no derivative

bounds required, all

GN_MLSL

no derivative

bounds required

GN_MLSL_LDS

no derivative

bounds required

GN_ORIG_DIRECT

no derivative

bounds required, inequality

GN_ORIG_DIRECT_L

no derivative

bounds required, inequality

G_MLSL

no derivative

bounds required

G_MLSL_LDS

no derivative

bounds required

LD_AUGLAG

first derivative

all

LD_AUGLAG_EQ

first derivative

all

LD_CCSAQ

first derivative

bounds, inequality

LD_LBFGS

first derivative

bounds

LD_MMA

first derivative

bounds, inequality

LD_SLSQP

first derivative

all

LD_TNEWTON

first derivative

bounds

LD_TNEWTON_PRECOND

first derivative

bounds

LD_TNEWTON_PRECOND_RESTART

first derivative

bounds

LD_TNEWTON_RESTART

first derivative

bounds

LD_VAR1

first derivative

bounds

LD_VAR2

first derivative

bounds

LN_AUGLAG

no derivative

all

LN_AUGLAG_EQ

no derivative

all

LN_BOBYQA

no derivative

bounds

LN_COBYLA

no derivative

all

LN_NELDERMEAD

no derivative

bounds

LN_NEWUOA

no derivative

none

LN_NEWUOA_BOUND (disabled)

no derivative

bounds

LN_PRAXIS (disabled)

no derivative

bounds

LN_SBPLX

no derivative

bounds

Availability of algorithms marked as optional may vary depending on the NLopt version or compilation options used.

Examples

>>> import openturns as ot
>>> dim = 4
>>> bounds = ot.Interval([-3.0] * dim, [5.0] * dim)
>>> linear = ot.SymbolicFunction(['x1', 'x2', 'x3', 'x4'], ['x1+2*x2-3*x3+4*x4'])
>>> problem = ot.OptimizationProblem(linear, ot.Function(), ot.Function(), bounds)
>>> print(ot.NLopt.GetAlgorithmNames())  
[AUGLAG,AUGLAG_EQ,GD_MLSL,GD_MLSL_LDS,...
>>> algo = ot.NLopt(problem, 'LD_MMA')  
>>> algo.setStartingPoint([0.0] * 4)  
>>> algo.run()  
>>> result = algo.getResult()  
>>> x_star = result.getOptimalPoint()  
>>> y_star = result.getOptimalValue()  

Methods

GetAlgorithmNames()

Accessor to the list of algorithms provided by NLopt, by names.

getAlgorithmName()

Accessor to the algorithm name.

getCheckStatus()

Accessor to check status flag.

getClassName()

Accessor to the object's name.

getInitialStep()

Initial local derivative-free algorithms step accessor.

getLocalSolver()

Local solver accessor.

getMaximumAbsoluteError()

Accessor to maximum allowed absolute error.

getMaximumCallsNumber()

Accessor to maximum allowed number of calls.

getMaximumConstraintError()

Accessor to maximum allowed constraint error.

getMaximumIterationNumber()

Accessor to maximum allowed number of iterations.

getMaximumRelativeError()

Accessor to maximum allowed relative error.

getMaximumResidualError()

Accessor to maximum allowed residual error.

getMaximumTimeDuration()

Accessor to the maximum duration.

getName()

Accessor to the object's name.

getProblem()

Accessor to optimization problem.

getResult()

Accessor to optimization result.

getSeed()

Random generator seed accessor.

getStartingPoint()

Accessor to starting point.

hasName()

Test if the object is named.

run()

Launch the optimization.

setAlgorithmName(algoName)

Accessor to the algorithm name.

setCheckStatus(checkStatus)

Accessor to check status flag.

setInitialStep(initialStep)

Initial local derivative-free algorithms step accessor.

setLocalSolver(localSolver)

Local solver accessor.

setMaximumAbsoluteError(maximumAbsoluteError)

Accessor to maximum allowed absolute error.

setMaximumCallsNumber(maximumCallsNumber)

Accessor to maximum allowed number of calls

setMaximumConstraintError(maximumConstraintError)

Accessor to maximum allowed constraint error.

setMaximumIterationNumber(maximumIterationNumber)

Accessor to maximum allowed number of iterations.

setMaximumRelativeError(maximumRelativeError)

Accessor to maximum allowed relative error.

setMaximumResidualError(maximumResidualError)

Accessor to maximum allowed residual error.

setMaximumTimeDuration(maximumTime)

Accessor to the maximum duration.

setName(name)

Accessor to the object's name.

setProblem(problem)

Accessor to optimization problem.

setProgressCallback(*args)

Set up a progress callback.

setResult(result)

Accessor to optimization result.

setSeed(seed)

Random generator seed accessor.

setStartingPoint(startingPoint)

Accessor to starting point.

setStopCallback(*args)

Set up a stop callback.

getMaximumEvaluationNumber

setMaximumEvaluationNumber

__init__(*args)
static GetAlgorithmNames()

Accessor to the list of algorithms provided by NLopt, by names.

Returns:
namesDescription

List of algorithm names provided by NLopt, according to its naming convention.

Examples

>>> import openturns as ot
>>> print(ot.NLopt.GetAlgorithmNames())  
[AUGLAG,AUGLAG_EQ,GD_MLSL,...
getAlgorithmName()

Accessor to the algorithm name.

Returns:
algoNamestr

The NLopt identifier of the algorithm.

getCheckStatus()

Accessor to check status flag.

Returns:
checkStatusbool

Whether to check the termination status. If set to False, run() will not throw an exception if the algorithm does not fully converge and will allow one to still find a feasible candidate.

getClassName()

Accessor to the object’s name.

Returns:
class_namestr

The object class name (object.__class__.__name__).

getInitialStep()

Initial local derivative-free algorithms step accessor.

Returns:
dxPoint

The initial step.

getLocalSolver()

Local solver accessor.

Returns:
solverNLopt

The local solver.

getMaximumAbsoluteError()

Accessor to maximum allowed absolute error.

Returns:
maximumAbsoluteErrorfloat

Maximum allowed absolute error, where the absolute error is defined by \epsilon^a_n=\|\vect{x}_{n+1}-\vect{x}_n\|_{\infty} where \vect{x}_{n+1} and \vect{x}_n are two consecutive approximations of the optimum.

getMaximumCallsNumber()

Accessor to maximum allowed number of calls.

Returns:
maximumEvaluationNumberint

Maximum allowed number of direct objective function calls through the () operator. Does not take into account eventual indirect calls through finite difference gradient calls.

getMaximumConstraintError()

Accessor to maximum allowed constraint error.

Returns:
maximumConstraintErrorfloat

Maximum allowed constraint error, where the constraint error is defined by \gamma_n=\|g(\vect{x}_n)\|_{\infty} where \vect{x}_n is the current approximation of the optimum and g is the function that gathers all the equality and inequality constraints (violated values only)

getMaximumIterationNumber()

Accessor to maximum allowed number of iterations.

Returns:
maximumIterationNumberint

Maximum allowed number of iterations.

getMaximumRelativeError()

Accessor to maximum allowed relative error.

Returns:
maximumRelativeErrorfloat

Maximum allowed relative error, where the relative error is defined by \epsilon^r_n=\epsilon^a_n/\|\vect{x}_{n+1}\|_{\infty} if \|\vect{x}_{n+1}\|_{\infty}\neq 0, else \epsilon^r_n=-1.

getMaximumResidualError()

Accessor to maximum allowed residual error.

Returns:
maximumResidualErrorfloat

Maximum allowed residual error, where the residual error is defined by \epsilon^r_n=\frac{\|f(\vect{x}_{n+1})-f(\vect{x}_{n})\|}{\|f(\vect{x}_{n+1})\|} if \|f(\vect{x}_{n+1})\|\neq 0, else \epsilon^r_n=-1.

getMaximumTimeDuration()

Accessor to the maximum duration.

Returns:
maximumTimefloat

Maximum optimization duration in seconds.

getName()

Accessor to the object’s name.

Returns:
namestr

The name of the object.

getProblem()

Accessor to optimization problem.

Returns:
problemOptimizationProblem

Optimization problem.

getResult()

Accessor to optimization result.

Returns:
resultOptimizationResult

Result class.

getSeed()

Random generator seed accessor.

Returns:
seedint

Seed.

getStartingPoint()

Accessor to starting point.

Returns:
startingPointPoint

Starting point.

hasName()

Test if the object is named.

Returns:
hasNamebool

True if the name is not empty.

run()

Launch the optimization.

setAlgorithmName(algoName)

Accessor to the algorithm name.

Parameters:
algoNamestr

The NLopt identifier of the algorithm.

setCheckStatus(checkStatus)

Accessor to check status flag.

Parameters:
checkStatusbool

Whether to check the termination status. If set to False, run() will not throw an exception if the algorithm does not fully converge and will allow one to still find a feasible candidate.

setInitialStep(initialStep)

Initial local derivative-free algorithms step accessor.

Parameters:
dxsequence of float

The initial step.

setLocalSolver(localSolver)

Local solver accessor.

Parameters:
solverNLopt

The local solver.

setMaximumAbsoluteError(maximumAbsoluteError)

Accessor to maximum allowed absolute error.

Parameters:
maximumAbsoluteErrorfloat

Maximum allowed absolute error, where the absolute error is defined by \epsilon^a_n=\|\vect{x}_{n+1}-\vect{x}_n\|_{\infty} where \vect{x}_{n+1} and \vect{x}_n are two consecutive approximations of the optimum.

setMaximumCallsNumber(maximumCallsNumber)

Accessor to maximum allowed number of calls

Parameters:
maximumEvaluationNumberint

Maximum allowed number of direct objective function calls through the () operator. Does not take into account eventual indirect calls through finite difference gradient calls.

setMaximumConstraintError(maximumConstraintError)

Accessor to maximum allowed constraint error.

Parameters:
maximumConstraintErrorfloat

Maximum allowed constraint error, where the constraint error is defined by \gamma_n=\|g(\vect{x}_n)\|_{\infty} where \vect{x}_n is the current approximation of the optimum and g is the function that gathers all the equality and inequality constraints (violated values only)

setMaximumIterationNumber(maximumIterationNumber)

Accessor to maximum allowed number of iterations.

Parameters:
maximumIterationNumberint

Maximum allowed number of iterations.

setMaximumRelativeError(maximumRelativeError)

Accessor to maximum allowed relative error.

Parameters:
maximumRelativeErrorfloat

Maximum allowed relative error, where the relative error is defined by \epsilon^r_n=\epsilon^a_n/\|\vect{x}_{n+1}\|_{\infty} if \|\vect{x}_{n+1}\|_{\infty}\neq 0, else \epsilon^r_n=-1.

setMaximumResidualError(maximumResidualError)

Accessor to maximum allowed residual error.

Parameters:
maximumResidualErrorfloat

Maximum allowed residual error, where the residual error is defined by \epsilon^r_n=\frac{\|f(\vect{x}_{n+1})-f(\vect{x}_{n})\|}{\|f(\vect{x}_{n+1})\|} if \|f(\vect{x}_{n+1})\|\neq 0, else \epsilon^r_n=-1.

setMaximumTimeDuration(maximumTime)

Accessor to the maximum duration.

Parameters:
maximumTimefloat

Maximum optimization duration in seconds.

setName(name)

Accessor to the object’s name.

Parameters:
namestr

The name of the object.

setProblem(problem)

Accessor to optimization problem.

Parameters:
problemOptimizationProblem

Optimization problem.

setProgressCallback(*args)

Set up a progress callback.

Can be used to programmatically report the progress of an optimization.

Parameters:
callbackcallable

Takes a float as argument as percentage of progress.

Examples

>>> import sys
>>> import openturns as ot
>>> rosenbrock = ot.SymbolicFunction(['x1', 'x2'], ['(1-x1)^2+100*(x2-x1^2)^2'])
>>> problem = ot.OptimizationProblem(rosenbrock)
>>> solver = ot.OptimizationAlgorithm(problem)
>>> solver.setStartingPoint([0, 0])
>>> solver.setMaximumResidualError(1.e-3)
>>> solver.setMaximumCallsNumber(10000)
>>> def report_progress(progress):
...     sys.stderr.write('-- progress=' + str(progress) + '%\n')
>>> solver.setProgressCallback(report_progress)
>>> solver.run()
setResult(result)

Accessor to optimization result.

Parameters:
resultOptimizationResult

Result class.

setSeed(seed)

Random generator seed accessor.

Parameters:
seedint

The RNG seed.

Notes

The default is set by the NLopt-InitialSeed ResourceMap entry.

setStartingPoint(startingPoint)

Accessor to starting point.

Parameters:
startingPointPoint

Starting point.

setStopCallback(*args)

Set up a stop callback.

Can be used to programmatically stop an optimization.

Parameters:
callbackcallable

Returns an int deciding whether to stop or continue.

Examples

>>> import openturns as ot
>>> rosenbrock = ot.SymbolicFunction(['x1', 'x2'], ['(1-x1)^2+100*(x2-x1^2)^2'])
>>> problem = ot.OptimizationProblem(rosenbrock)
>>> solver = ot.OptimizationAlgorithm(problem)
>>> solver.setStartingPoint([0, 0])
>>> solver.setMaximumResidualError(1.e-3)
>>> solver.setMaximumCallsNumber(10000)
>>> def ask_stop():
...     return True
>>> solver.setStopCallback(ask_stop)
>>> solver.run()

Examples using the class

Fitting a distribution with customized maximum likelihood

Fitting a distribution with customized maximum likelihood

Kriging: configure the optimization solver

Kriging: configure the optimization solver

Advanced Kriging

Advanced Kriging

Kriging: metamodel with continuous and categorical variables

Kriging: metamodel with continuous and categorical variables

Optimization using NLopt

Optimization using NLopt

Quick start guide to optimization

Quick start guide to optimization

EfficientGlobalOptimization examples

EfficientGlobalOptimization examples