[SciPy-user] lagrange multipliers in python

Dominique Orban dominique.orban@gmail....
Fri Jun 15 14:51:22 CDT 2007


Bill Baxter wrote:
> On 6/16/07, Dominique Orban <dominique.orban@gmail.com> wrote:
>>
>> Hello Xiao,
>>
>> If you can compute first, but not second derivatives, there is possibility
>> of
>> approximating those using a limited-memory BFGS matrix. NLPy features a
>> L-BFGS
>> implementation in pure Python, save for the linesearch, which is in
>> Fortran.
> 
> 
> scipy.optimize also has an L-BFGS implementation -- in pure C I believe.  Is
> there something yours offers that scipy's doesn't?  (like constraints?)

L-BFGS has been generalized to bound constraints only (resulting in the code 
L-BFGS-B), but the implementation is very different from that of L-BFGS. NLPy 
only contains L-BFGS for now and the implementation is standard. Since it is all 
in Python it is easy to read and modify (e.g, implement different 
iteration-dependent scalings.) I am not sure which one is interfaced in SciPy.

Dominique


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