Add NLOPT as a solver

mypy.ini

@@ -3,7 +3,7 @@
 [mypy-scipy.*,requests,pandas,compiler_gym,compiler_gym.*,gym,gym.*,gym_anm,matplotlib.*,pytest,cma,bayes_opt.*,torchvision.models,torch.*,mpl_toolkits.*,fcmaes.*,tqdm,pillow,PIL,PIL.Image,sklearn.*,pyomo.*,pyproj,IOHexperimenter.*,tensorflow,koncept.models,cv2,imquality,imquality.brisque,lpips,mixsimulator.*,networkx.*,cdt.*,pymoo,pymoo.*,bayes_optim.*,olympus.*]
 ignore_missing_imports = True
 
-[mypy-nevergrad.functions.rl.agents,torchvision,torchvision.*,nevergrad.functions.games.*,nevergrad.functions.multiobjective.pyhv,nevergrad.optimization.test_doc,,pymoo,pymoo.*,pybullet,pybullet_envs,pybulletgym,pyvirtualdisplay,aquacrop.*]
+[mypy-nevergrad.functions.rl.agents,torchvision,torchvision.*,nevergrad.functions.games.*,nevergrad.functions.multiobjective.pyhv,nevergrad.optimization.test_doc,,pymoo,pymoo.*,pybullet,pybullet_envs,pybulletgym,pyvirtualdisplay,nlopt,aquacrop.*]
 ignore_missing_imports = True
 ignore_errors = True
 

nevergrad/optimization/recastlib.py

@@ -38,13 +38,14 @@ def __init__(
             "Nelder-Mead",
             "COBYLA",
             "SLSQP",
+            "NLOPT",
             "Powell",
         ], f"Unknown method '{method}'"
         self.method = method
         self.random_restart = random_restart
         # The following line rescales to [0, 1] if fully bounded.
 
-        if method == "CmaFmin2":
+        if method in ("CmaFmin2", "NLOPT"):
             normalizer = p.helpers.Normalizer(self.parametrization)
             if normalizer.fully_bounded:
                 self._normalizer = normalizer
@@ -71,7 +72,43 @@ def _optimization_function(
         while remaining > 0:  # try to restart if budget is not elapsed
             options: tp.Dict[str, tp.Any] = {} if weakself.budget is None else {"maxiter": remaining}
             # options: tp.Dict[str, tp.Any] = {} if self.budget is None else {"maxiter": remaining}
-            if weakself.method == "CmaFmin2":
+            if weakself.method == "NLOPT":
+                # This is NLOPT, used as in the PCSE simulator notebook.
+                # ( https://github.com/ajwdewit/pcse_notebooks ).
+                import nlopt
+
+                def nlopt_objective_function(*args):
+                    data = np.asarray([arg for arg in args])[0]
+                    assert len(data) == weakself.dimension, (
+                        str(data) + " does not have length " + str(weakself.dimension)
+                    )
+                    if weakself._normalizer is not None:
+                        data = weakself._normalizer.backward(np.asarray(data, dtype=np.float32))
+                    return objective_function(data)
+
+                # Sbplx (based on Subplex) is used by default.
+                opt = nlopt.opt(nlopt.LN_SBPLX, weakself.dimension)
+                # Assign the objective function calculator
+                opt.set_min_objective(nlopt_objective_function)
+                # Set the bounds.
+                opt.set_lower_bounds(np.zeros(weakself.dimension))
+                opt.set_upper_bounds(np.ones(weakself.dimension))
+                # opt.set_initial_step([0.05, 0.05])
+                opt.set_maxeval(budget)
+                # Relative tolerance for convergence
+                opt.set_ftol_rel(1.0e-10)
+
+                # Start the optimization with the first guess
+                firstguess = 0.5 * np.ones(weakself.dimension)
+                best_x = opt.optimize(firstguess)
+                # print("\noptimum at TDWI: %s, SPAN: %s" % (x[0], x[1]))
+                # print("minimum value = ",  opt.last_optimum_value())
+                # print("result code = ", opt.last_optimize_result())
+                # print("With %i function calls" % objfunc_calculator.n_calls)
+                if weakself._normalizer is not None:
+                    best_x = weakself._normalizer.backward(np.asarray(best_x, dtype=np.float32))
+
+            elif weakself.method == "CmaFmin2":
                 import cma  # import inline in order to avoid matplotlib initialization warning
 
                 def cma_objective_function(data):
@@ -135,6 +172,7 @@ class NonObjectOptimizer(base.ConfiguredOptimizer):
         - SQP (or SLSQP): very powerful e.g. in continuous noisy optimization. It is based on
           approximating the objective function by quadratic models.
         - Powell
+        - NLOPT (https://nlopt.readthedocs.io/en/latest/; uses Sbplx, based on Subplex)
     random_restart: bool
         whether to restart at a random point if the optimizer converged but the budget is not entirely
         spent yet (otherwise, restarts from best point)
@@ -154,6 +192,7 @@ def __init__(self, *, method: str = "Nelder-Mead", random_restart: bool = False)
 
 NelderMead = NonObjectOptimizer(method="Nelder-Mead").set_name("NelderMead", register=True)
 CmaFmin2 = NonObjectOptimizer(method="CmaFmin2").set_name("CmaFmin2", register=True)
+NLOPT = NonObjectOptimizer(method="NLOPT").set_name("NLOPT", register=True)
 Powell = NonObjectOptimizer(method="Powell").set_name("Powell", register=True)
 RPowell = NonObjectOptimizer(method="Powell", random_restart=True).set_name("RPowell", register=True)
 Cobyla = NonObjectOptimizer(method="COBYLA").set_name("Cobyla", register=True)

nevergrad/optimization/recorded_recommendations.csv

@@ -146,6 +146,7 @@ NGOptBase,0.0,-0.3451057176,-0.1327329683,1.9291307781,,,,,,,,,,,,
 NGOptSingle16,0.0,0.0,0.0,0.0,,,,,,,,,,,,
 NGOptSingle25,0.0,0.0,0.0,0.0,,,,,,,,,,,,
 NGOptSingle9,0.0,0.0,0.0,0.0,,,,,,,,,,,,
+NLOPT,0.625,0.0,0.5,0.5,,,,,,,,,,,,
 NaiveAnisoEMNA,1.012515477,-0.9138691467,-1.0295302074,1.2097964496,,,,,,,,,,,,
 NaiveAnisoEMNATBPSA,0.002380178,-0.0558141,-0.3746306258,1.3332040355,,,,,,,,,,,,
 NaiveIsoEMNA,1.012515477,-0.9138691467,-1.0295302074,1.2097964496,,,,,,,,,,,,

nevergrad/optimization/test_optimizerlib.py

@@ -211,7 +211,7 @@ def test_optimizers(name: str) -> None:
             optimizer_cls.__class__(**optimizer_cls._config) == optimizer_cls
         ), "Similar configuration are not equal"
     # some classes of optimizer are eigher slow or not good with small budgets:
-    nameparts = ["Many", "Chain", "BO", "Discrete"] + ["chain"]  # TODO remove chain when possible
+    nameparts = ["Many", "Chain", "BO", "Discrete", "NLOPT"] + ["chain"]  # TODO remove chain when possible
     is_ngopt = inspect.isclass(optimizer_cls) and issubclass(optimizer_cls, NGOptBase)  # type: ignore
     verify = (
         not optimizer_cls.one_shot
@@ -435,6 +435,7 @@ def test_bo_parametrization_and_parameters() -> None:
     with pytest.warns(None) as record:  # type: ignore
         opt = optlib.ParametrizedBO(gp_parameters={"alpha": 1})(parametrization, budget=10)
     assert not record, record.list  # no warning
+
     # parameters
     # make sure underlying BO optimizer gets instantiated correctly
     new_candidate = opt.parametrization.spawn_child(new_value=((True,), {}))

requirements/bench.txt

@@ -34,3 +34,4 @@ olymp==0.0.1b0 ; sys_platform == "linux"
 silence_tensorflow  # for olymp
 tensorflow_probability  # for olymp
 bayes-optim==0.2.5.5
+nlopt