ttopt

Description

Gradient-free global optimization algorithm for multidimensional functions based on the low rank tensor train (TT) format and maximum volume principle.

Notes:

• At the moment, this is a draft version of the software product. Significant changes in algorithms and interface are possible without maintaining backward compatibility.
• Within the framework of the current implementation, the result essentially depends on the choice of the initial approximation, but we have a number of ideas on how to fix this and, in general, how to significantly improve the accuracy/performance of the algorithm.
• There is a known bug. When using a cache of values, the algorithm sometimes converges until the maximum allowable number of real requests to the target function is reached and then requests only values from the cache, which leads to endless program operation. This point will be corrected in the future.
• If you are planning to use this software product to solve a specific problem, please contact the developers.

Installation

The package (it requires the Python programming language of the version >= 3.6) can be installed via pip: pip install ttopt. It can be also downloaded from the repository ttopt and installed by python setup.py install command from the root folder of the project.

Required python packages numpy, scipy and maxvolpy will be automatically installed during the installation of the main software product. Note that in some cases it is better to install the maxvolpy package manually.

Documentation

The documentation is located in the doc folder. To view the documentation, simply open the file doc/_build/html/index.html in a web browser.

At the moment, this is a draft of documentation, however, there are already detailed comments on the use of functions and the meaning of their arguments. In the future, the documentation will be hosted on a separate web page.

Examples

The demo-scripts with detailed comments are collected in the folder demo:

• base.py - we find the minimum for the 10-dimensional Rosenbrock function with vectorized input;
• qtt.py - we do almost the same as in the base.py script, but use the QTT-based approach (note that results are much more better then in the base.py example);
• qtt_100d.py - we do almost the same as in the qtt.py script, but approximate the 100-dimensional Rosenbrock function;
• vect.py - we find the minimum for the simple analytic function with "simple input" (the function is not vectorized);
• cache.py - we find the minimum for the simple analytic function to demonstrate the usage of cache;
• tensor.py - in this example we find the minimum for the multidimensional array/tensor (i.e., discrete function).

Authors

• Andrei Chertkov ([email protected]);
• Ivan Oseledets ([email protected]);
• Roman Schutski ([email protected]);
• Konstantin Sozykin ([email protected]).