Algorithm 1027: NOMAD Version 4: Nonlinear Optimization with the MADS Algorithm

Abstract

NOMADis a state-of-the-art software package for optimizing blackbox problems. In continuous development since 2001, it constantly evolved with the integration of new algorithmic features published in scientific publications. These features are motivated by real applications encountered by industrial partners. The latest major release of NOMAD, version 3, dates to 2008. Minor releases are produced as new features are incorporated. The present work describes NOMAD 4, a complete redesign of the previous version, with a new architecture providing more flexible code, added functionalities, and reusable code. We introduce algorithmic components, which are building blocks for more complex algorithms and can initiate other components, launch nested algorithms, or perform specialized tasks. They facilitate the implementation of new ideas, including the MegaSearchPoll component, warm and hot restarts, and a revised version of the PsdMads algorithm. Another main improvement of NOMAD 4 is the usage of parallelism, to simultaneously compute multiple blackbox evaluations and to maximize usage of available cores. Running different algorithms, tuning their parameters, and comparing their performance for optimization are simpler than before, while overall optimization performance is maintained between versions 3 and 4. NOMAD is freely available at www.gerad.ca/nomad and the whole project is visible at github.com/bbopt/nomad.