[SciPy-dev] Brent's Principal Axis Algorithm
Charles R Harris
Tue Sep 8 22:10:50 CDT 2009
On Tue, Sep 8, 2009 at 7:28 PM, Eric Firing <firstname.lastname@example.org> wrote:
> Robert Kern wrote:
> > On Tue, Sep 8, 2009 at 12:44, Christoph
> > Schmidt-Hieber<email@example.com> wrote:
> >> Dear all,
> >> I've started a Google code project (http://code.google.com/p/pypraxis/)
> to provide a Python interface to Brent's principal axis algorithm. It's
> basically a wrapper around some Fortran code from
> http://www.netlib.org/opt/. Brent's algorithm minimizes a function of
> several variables without calculating derivatives - not to be mistaken for
> scipy.optimize.brent, that only performs single-variable minimization. The
> algorithm typically outperforms other derivative- and gradient-free
> algorithms (Brent, 2002; http://wwwmaths.anu.edu.au/~brent/pub/pub011.html).
> In my experience, it converges substantially faster than fmin and
> fmin_powell from scipy.optimize when fitting models with 5 to 15 free
> parameters to experimental data. Notably, Mathematica uses this algorithm
> for minimization without derivatives
> >> (
> >> I've provided some test cases and a wrapper that allow to compare it
> directly to the existing algorithms from scipy.optimize. Let me know if you
> think that the code could be a candidate for integration into
> scipy.optimize. It would obviously require some work to make it conform with
> the other functions that are already present.
> > That would be great! Unfortunately, there is no license attached to
> > praxis.f, so it cannot be integrated into scipy until we find a
> > suitably licensed implementation of the algorithm.
> This seems to imply that the code may be used freely; but it wouldn't
> hurt to ask the author.
No it doesn't, it implies that most of the code is GPL. ISTR looking at the
random number generation code on Brent's site and coming to a stop after
that bit. It may be that Brent would be open to relicensing the code, or
that the code in guestion is not just free, but BSD free, but I think it
would be advisable to contact Brent and find out.
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