Hyperopt

Global optimization algorithms for Node.js

This package wraps the routine dlib::find_max_global() from the dlib C++ toolkit. Read more about the algorithms behind this function in A Global Optimization Algorithm Worth Using.

Install

npm install hyperopt

Note this is a Node.js N-API native addon and requires at least:

• A recent C++ compiler
• Node.js - v12.17
• CMake - v3.11

Example

This simple example shows how to minimize the following function with findMinGlobal():

const hyperopt = require('hyperopt');

// Domain: defines the number of dimensions and their respective
// bounds (minimum, maximum) to search. In this example
// the objective is one dimensional.
const domain = [
    [0, 3.5]
];

// Objective Function: evaluates a point in the domain and
// returns a single number i.e. the loss to minimize
const objective = xs => {
    const x = xs[0];
    return (1 / x) * Math.sin(x ** 2);
}

// Iteratively search for the global minimum
const min = hyperopt.findMinGlobal(objective, domain,
    { maxIterations: 10 });

// prints { y: -0.463, x: [ 2.144 ] }
console.info(min);

Documentation

See the typescript definition file for API documentation.

References

1. C. Malherbe, N. Vayatis – Global optimization of Lipschitz functions – arXiv:1703.02628, Jun 2017.

2. M.J.D. Powell – The BOBYQA algorithm for bound constrained optimization without derivatives – Report DAMTP 2009/NA06, University of Cambridge, Aug 2009.

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License

Copyright 2021 Ray Glover

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at

http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.