[SciPy-user] in search of a different fmin method

Robert Kern rkern at ucsd.edu
Mon Aug 1 05:50:24 CDT 2005

Victor Reijs wrote:
> Hello all of you,
> I now have scipy working for PSP8 (based on python 2.2) and I use fmin 
> (or fmin_Powell); the results are as if these method only find a local 
> minimum and not the global minimum.
> I have the same problem programmed in MS Excel 2000 and using Excel 
> Solver it looks from the result that the global minimum is found (MS 
> Excel 2000 uses Generalized Reduced Gradient Algorithm: 
> http://support.microsoft.com/kb/q214115/ ).

This algorithm is not a global optimizer. See the section "Multiple 
Locally Optimum Points" on that page.

> Do people know if such a fmin is also available in Python?

We don't have many global optimizers. There's a simulated annealing 
implementation in scipy.optimize.anneal(). There's also a genetic 
algorithm implementation in scipy.ga, but I think it may have succumbed 
to bit-rot by now.

Global optimization is hard in general, though, and it takes significant 
experience with the algorithm to tune it for your problem. Good luck!

Robert Kern
rkern at ucsd.edu

"In the fields of hell where the grass grows high
  Are the graves of dreams allowed to die."
   -- Richard Harter

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