Benchmarking Global Optimizers

56 Pages Posted: 7 Oct 2019

See all articles by Antoine Arnoud

Antoine Arnoud

Yale University

Fatih Guvenen

University of Minnesota - Department of Economics; National Bureau of Economic Research (NBER)

Tatjana Kleineberg

World Bank

Date Written: October 2019

Abstract

We benchmark seven global optimization algorithms by comparing their performance on challenging multidimensional test functions as well as a method of simulated moments estimation of a panel data model of earnings dynamics. Five of the algorithms are taken from the popular NLopt open-source library: (i) Controlled Random Search with local mutation (CRS), (ii) Improved Stochastic Ranking Evolution Strategy (ISRES), (iii) Multi-Level Single-Linkage (MLSL) algorithm, (iv) Stochastic Global Optimization (StoGo), and (v) Evolutionary Strategy with Cauchy distribution (ESCH). The other two algorithms are versions of TikTak, which is a multistart global optimization algorithm used in some recent economic applications. For completeness, we add three popular local algorithms to the comparison—the Nelder-Mead downhill simplex algorithm, the Derivative-Free Non-linear Least Squares (DFNLS) algorithm, and a popular variant of the Davidon-Fletcher-Powell (DFPMIN) algorithm. To give a detailed comparison of algorithms, we use a set of benchmarking tools recently developed in the applied mathematics literature. We find that the success rate of many optimizers vary dramatically with the characteristics of each problem and the computational budget that is available. Overall, TikTak is the strongest performer on both the math test functions and the economic application. The next-best performing optimizers are StoGo and CRS for the test functions and MLSL for the economic application.

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Suggested Citation

Arnoud, Antoine and Guvenen, Fatih and Kleineberg, Tatjana, Benchmarking Global Optimizers (October 2019). NBER Working Paper No. w26340. Available at SSRN: https://ssrn.com/abstract=3465350

Fatih Guvenen

University of Minnesota - Department of Economics ( email )

Minneapolis, MN 55455
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Tatjana Kleineberg

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

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