Asynchronous Parallel Pattern Search
Version 4.0.2
Released December 15, 2005
APPSPACK is serial or parallel, derivative-free optimization software for solving nonlinear unconstrained and bound-constrained optimization problems, with possibly noisy and expensive objective functions. The basic optimization problem is of the form
Here
and
. (The upper and lower bounds are each optional on an component-by-component basis.) To find a solution of this problem, APPSPACK implements asynchronous parallel pattern search, which uses a pattern of search directions to drive the search and determine new trial points for evaluation. APPSPACK is written in C++ and uses MPI for parallelism. Using APPSPACK to solve optimization problems has the following advantages:
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Only function values are required for the optimization, so it can be applied to a wide variety of problems. The user need simply provide a program (written in any language such as Fortran, C, C++, Perl, etc.) that can evaluate the objective function at a given point.
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The target applications are simulation-based optimization problems characterized by a small number of variables (i.e., n < 100) and by expensive objective function evaluations (typically complex simulations that take minutes or hours to run). The procedure for evaluating the objective function does not need to be encapsulated in a subroutine and can, in fact, be an entirely separate program.
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The code can be run in parallel on a cluster of computers, greatly reducing the total solution time. Parallelism is achieved by assigning the individual function evaluations to different processors. The (optional) asynchronism enables better load balancing.
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The software is freely available under the terms of the GNU Lesser General Public License.
Key words: optimization, derivative-free, parallel, direct search, pattern search, engineering design
The following people have contributed code to APPSPACK:
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Tamara G. Kolda, Sandia National Labs, tgkolda@sandia.gov
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Patricia D. Hough, Sandia National Labs, pdhough@sandia.gov
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Genetha Gray, Sandia National Labs, gagray@sandia.gov
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Robert Darwin (Sandia Summer Intern, 2004)
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Daniel Dunlavy (Sandia Summer Intern, 2001)
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H. Alton Patrick (Sandia Summer Intern, 2000)
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Sarah Brown (Sandia Summer Intern, 2000)
Please contact
Tamara G. Kolda.

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