[SciPy-user] L-BFGS in scipy

Xiaojian Wang wangxj.uc at gmail.com
Wed Sep 13 15:22:26 CDT 2006


Hi,
Is anybody know which optimize module can handle general constrains? not
like
lower(i) < Xi  < upper(i)  in scipy.optimize.fmin_l_bfgs_b().
instead, I would like to include constraint:
Gi = cos(X1) + X2**2 + X3*X4 <= 0.0

Xiaojian





On 9/13/06, Nils Wagner <nwagner at iam.uni-stuttgart.de> wrote:
>
> Robert Kern wrote:
> > Nils Wagner wrote:
> >
> >> Hi all,
> >>
> >> Has someone implemented the limited memory BFGS method in scipy ?
> >>
> >
> > Yes. scipy.optimize.fmin_l_bfgs_b(). Please grep for these things.
> >
> >
> Thank you Robert.
> If bounds=None we have an unconstraint version.
> Thus fmin_l_bfgs_b is also an unconstrained optimizer. I missed that.
> Maybe fmin_l_bfgs_b should also be added to the list of general-purpose
> optimization routines
>
> help (optimize) yields
>
>     A collection of general-purpose optimization routines.
>
>       fmin        --  Nelder-Mead Simplex algorithm
>                         (uses only function calls)
>       fmin_powell --  Powell's (modified) level set method (uses only
>                         function calls)
>       fmin_cg     --  Non-linear (Polak-Ribiere) conjugate gradient
> algorithm
>                         (can use function and gradient).
>       fmin_bfgs   --  Quasi-Newton method
> (Broydon-Fletcher-Goldfarb-Shanno);
>                         (can use function and gradient)
>       fmin_ncg    --  Line-search Newton Conjugate Gradient (can use
>                         function, gradient and Hessian).
>       leastsq     --  Minimize the sum of squares of M equations in
>                         N unknowns given a starting estimate.
>
>
> Constrained Optimizers (multivariate)
>
>       fmin_l_bfgs_b -- Zhu, Byrd, and Nocedal's L-BFGS-B constrained
> optimizer
>                          (if you use this please quote their papers --
> see help)
>
> and I disregard fmin_l_bfgs_b because it is given in the section
> Constrained Optimizers.
>
> Sorry for the noise.
>
> Nils
>
>
>
>
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