[SciPy-Dev] adding FIRE algorithm to scipy.optimize

Daniel Asenjo daniel.asenjo@gmail....
Sat Mar 16 04:55:13 CDT 2013


I have an implementation of the FIRE minimization algorithm that I would
like add to scipy.optimize.

The algorithm is described here:

http://link.aps.org/doi/10.1103/PhysRevLett.97.170201

FIRE is relatively fast although not as efficient as L-BFGS but it is much
more stable as shown in our recently submitted paper:

http://people.ds.cam.ac.uk/daa32/compareminmeth.pdf

I think that FIRE would be a good addition to the existing algorithms in
scipy.optimize as it is becoming popular within the community.

What do you think?

Daniel.
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