Request: SHGO optimization algorithm

[DGIorio]

Hello,

I would like to request the implementation of the Simplicial Homology Global Optimisation (SHGO) algorithm by Stefan Endres.
It is a highly efficient derivative-free method for global optimization, usually requiring just a small amount of funcions evalutions. In some tests with 8-dimension Rosenbrock and Ackley functions, its Scipy implementation requires, respectively, about 750 and 360 functions evaluations, while pygmo's CMA-ES requires, respectively, about 7700 and 5090 evaluations.

Reference: https://stefan-endres.github.io/shgo/

[darioizzo]

Thanks for your pointer! It would indeed be a nice addition ... I wonder how it would perform on the BBoB type of tests.