[SciPy-dev] Proposal for more generic optimizers (posted before on scipy-user)

Matthieu Brucher matthieu.brucher@gmail....
Fri Apr 13 02:01:46 CDT 2007


A little update of my proposal :

- each step can be update after each iteration, it will be enhanced so that
everything computed in the iteration will be passed on, in case it is needed
to update the step. That could be useful for approximated steps
- added a simple Damped optimizer, it tries to take a step, if the cost is
higher than before, half a step is tested, ...
- a function object is created if the function argument is not passed (takes
the arg 'fun' as the cost function, gradient for the gradient, ...). Some
safeguards must still be implemented.

I was thinking of the limits of this architecture :
- defenitely all quasi-Newton optimizers can be ported to this framework, as
well as all semi-quadratic ones
- constrained optimization will not unless it is modified so that it can,
but as I do not use such optimizers in my PhD thesis, I do not know them
enough

But even the simplex/polytope optimizer (fmin) can be expressed in the
framework - it is useless though, as it would be slower -, and can
advantages of the different stopping criteria. BTW, I used some parts of
this framework in an EM algorithm with an AIC based optimizer on the top.

As I said in another thread, I'm in favour of fine-grained modules, even if
some wrapper can provide simple optimization procedures.

Matthieu

2007/3/26, Matthieu Brucher <matthieu.brucher@gmail.com>:
>
> OK, I see why you want that approach.
> > (So that you can still pass a single object around in your
> > optimizer module.)  Yes, that seems right...
>
>
>
> Exactly :)
>
>
> This seems to bundle naturally with a specific optimizer?
>
>
>
> I'm not an expert in optimization, but I intended several class/seminars
> on the subject, and at least for the usual simple optimizer - the standard
> optimizer, all damped approach, and all the other that use a step and a
> criterion test - use this interface, and with a lot of different steps that
> are usual - gradient, every conjugated gradient solution, (quasi-)Newton -
> or criteria.
> I even suppose it can do very well in semi-quadratic optimization, with
> very little change, but I have to finish some work before I can read some
> books on the subject to begin implementing it in Python.
>
>
> If so, the class definition should reside in the StandardOptimizer module.
> >
> > Cheers,
> > Alan Isaac
> >
> > PS For readability, I think Optimizer should define
> > a "virtual" iterate method. E.g.,
> > def iterate(self):
> >     return NotImplemented
>
>
> Yes, it seems better.
>
> Thanks for the opinion !
>
> Matthieu
>
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