[SciPy-user] Matlab lsqlin equivalent: Constrained least squares
robert.kern at gmail.com
Sat Jun 24 00:39:59 CDT 2006
Sebastian Haase wrote:
> A friend of mine needs a constrained least squares solver.
> He says that Matlab's lsqlin
> would look like it should do the trick.
> Is there already some function in scipy.optimize
> that is equivalent ?
Depends. What kind of bounds does he actually need?
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)
fmin_tnc -- Truncated Newton Code originally written by Stephen Nash and
adapted to C by Jean-Sebastien Roy.
fmin_cobyla -- Constrained Optimization BY Linear Approximation
fmin_l_bfgs_b and fmin_tnc only do rectilinear min-max bounds. fmin_cobyla
allows arbitrary sets of (possibly nonlinear) "f(x)>=b" bounds.
The equality contraints in lsqlin can probably by transforming the problem into
the solution space of Aeq*x=b.
"I have come to believe that the whole world is an enigma, a harmless enigma
that is made terrible by our own mad attempt to interpret it as though it had
an underlying truth."
-- Umberto Eco
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