mts.md

Multiple Trajectory Search (MTS)

Description

MTS: Multiple Trajectory Search for Large-Scale Global Optimization, is a derivative-free heuristic optimization method presented in paper Lin-Yu Tseng and Chun Chen, 2008. The main algorihtm MTS contains three subroutines localsearch1, localsearch2 and localsearch3. This module implements all the optimization methods in the paper. People often use the entire MTS or only localsearch1 to optimize functions, while localsearch2 or localsearch3 would rarely be used independently. Therefore, the module only exports MTS and LocalSearch (referring localsearch1).

Quick start

Using default MTSOptions(). MTS is used for optimization.

alg = MTSAlg()
options = MTSOptions()
m = Model(f)
lb = [0, 0]
ub = [5, 5]
# Must have a box constraint. And (in)equality constraints are not supported for MTS methods.
addvar!(m, lb, ub)
result = optimize(model, alg, x0, options = options)

Using LocalSearch

You can also use LocalSearch through LocalSearchAlg and LocalSearchOptions.

alg = Alg()
options = LocalSearchOptions()
m = Model(f)
lb = [0, 0]
ub = [5, 5]
# Must have a box constraint. And (in)equality constraints are not supported in MTS methods.
addvar!(m, lb, ub)
result = optimize(model, alg, x0, options = options)