[SciPy-dev] multi-variable constrained minimization?

[A.J. Rossini]

>>>>> "eric" == eric jones <eric at enthought.com> writes:

    eric> Is there a constrained minimization function for
    eric> multi-variable functions?  optimize.fmin_bound is for scalar
    eric> functions only from what I can tell.


    eric> If the answer is "no", the next question is whether this is
    eric> because there isn't a good Fortran/C function for this in
    eric> the libraries we've wrapped, or is it because the ones there
    eric> aren't any good.

It's hard to do, and at least I've not found one yet.  I've been
looking for years for one (my thesis, back in the days of old, used
CFSQP, and I can't distribute the results without such a beast!)

There are variants, i.e. using penalty functions when the constraints
are broken.  LibWN (I might have this wrong, but it's a library by
Will Naylor) had such a beast, combined with a CG approach.


    eric> The next question would be, does anyone have a suggestion
    eric> for a library we should use for this capability?  There is a
    eric> library that I've used before called CFSQP by Andre Tits
    eric> that is very good, but it is not open source and can't be
    eric> distributed with scipy (you can get the source by emailing
    eric> the author).  This pretty much rules it out.  Any other
    eric> suggestions?

The one I suggested above.  But it's sort of "personalized" (i.e. by
Will).  I don't have a current link to it (it's been 3+ years since I
looked). 

I'm sure there might be others, but there probably are very few.

best,
-tony

-- 
A.J. Rossini				Rsrch. Asst. Prof. of Biostatistics
U. of Washington Biostatistics		rossini at u.washington.edu	
FHCRC/SCHARP/HIV Vaccine Trials Net	rossini at scharp.org
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