GLODS: Global and Local Optimization
using Direct Search
A solver for global derivative-free optimization
GLODS is a solver suited for global constrained optimization which does not use any derivatives of the objective functions. Using direct search of directional type, the algorithm alternates between a search step, where potentially good regions are located, and a poll step where the previously located promising regions are explored. This exploitation is made through the launching of several directional direct searches, one in each of the regions of interest. Differently from a simple multistart strategy, direct searches will merge when sufficiently close. The goal is to end with as many direct searches as the number of local minimizers, which would easily allow locating the global extreme value.
GLODS is freely available for research, educational or commercial use, under a GNU lesser general public license.
References and complementary material: