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Multivariate optimization library

See each sub-directory for different optimization approaches.

  • A few metaheuristics algorithm have been implemented
  • Reverse mode AD using my enhanced KANN library

PracticalExamples folder contains example of:

  • Combine mathematical programming and metaheuristics to design of parametric IIR filters

As long as metaheuristics doesn't hurt solution and keep reduce cost function value :)

A example of optimization history of peaking fit, DE go 10000 iterations, SGD go 6000 iterations:

Differential Evolution, oops! Stochastic Gradient descent, great!
Animation 1 Animation 2

A example of optimization history of peaking fit, 60000 iterations:

Differential Evolution, not bad Stochastic Gradient descent, excellent, unity gain bias is needed
Static picture 1 Static picture 2

Bad examples:

Differential Evolution, 51000 iterations, bad Stochastic Gradient descent, 51000 iterations, bad SGD + DE, 21000 iterations, better
Static picture 1 Static picture 2 Static picture 3

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