Constrained, non-linear, derivative-free, parallel optimization of continuous, high computing load, noisy objective functions

The main result is a new original algorithm: CONDOR ("COnstrained, Non-linear, Direct, parallel Optimization using trust Region method for high-computing load, noisy functions"). The aim of this algorithm is to find the minimum x* of an objective function F(x) (x is a vector whose dimension is between 1 and 150) using the least number of function evaluations of F(x). It is assumed that the dominant computing cost of the optimization process is the time needed to evaluate the objective function F(x) (One evaluation can range from 2 minutes to 2 days). The algorithm will try to minimize the number of evaluations of F(x), at the cost of a huge amount of routine work. CONDOR is a derivate-free optimization tool (i.e., the derivatives of F(x) are not required. The only information needed about the objective function is a simple method (written in Fortran, C++,...) or a program (a Unix, Windows, Solaris,... executable) which can evaluate the objective function F(x) at a given point x. The algorithm has been specially developed to be very robust against noise inside the evaluation of the objective function F(x). This hypotheses are very general, the algorithm can thus be applied on a vast number of situations. CONDOR is able to use several CPU's in a cluster of computers. Different computer architectures can be mixed together and used simultaneously to deliver a huge computing power. The optimizer will make simultaneous evaluations of the objective function F(x) on the available CPU's to speed up the optimization process. The experimental results are very encouraging and validate the quality of the approach: CONDOR outperforms many commercial, high-end optimizer and it might be the fastest optimizer in its category (fastest in terms of number of function evaluations). When several CPU's are used, the performances of CONDOR are currently unmatched (may 2004). CONDOR has been used during the METHOD project to optimize the shape of the blades inside a Centrifugal Compressor (METHOD stands for Achievement Of Maximum Efficiency For Process Centrifugal Compressors THrough New Techniques Of Design). In this project, the objective function is based on a 3D-CFD (computation fluid dynamic) code which simulates the flow of the gas inside the compressor.