[SciPy-Dev] step size for optimize nelder-mead

[InSuk Joung]

Hello developers,
I like to suggest adding an initial step size for nelder-mead optimization
as an option.
A suggested patch is pasted below:

diff --git a/scipy/optimize/optimize.py b/scipy/optimize/optimize.py
index 9b4ad6d..386a416 100644
--- a/scipy/optimize/optimize.py
+++ b/scipy/optimize/optimize.py
@@ -316,6 +316,8 @@ def fmin(func, x0, args=(), xtol=1e-4, ftol=1e-4,
maxiter=None, maxfun=None,
         Set to True to print convergence messages.
     retall : bool, optional
         Set to True to return list of solutions at each iteration.
+    step : ndarray, optional
+        Initial step size.

     Returns
     -------
@@ -368,7 +370,8 @@ def fmin(func, x0, args=(), xtol=1e-4, ftol=1e-4,
maxiter=None, maxfun=None,
             'maxiter': maxiter,
             'maxfev': maxfun,
             'disp': disp,
-            'return_all': retall}
+            'return_all': retall,
+            'step': step}

     res = _minimize_neldermead(func, x0, args, callback=callback, **opts)
     if full_output:
@@ -385,7 +388,7 @@ def fmin(func, x0, args=(), xtol=1e-4, ftol=1e-4,
maxiter=None, maxfun=None,

 def _minimize_neldermead(func, x0, args=(), callback=None,
                          xtol=1e-4, ftol=1e-4, maxiter=None, maxfev=None,
-                         disp=False, return_all=False,
+                         disp=False, return_all=False, step=None,
                          **unknown_options):
     """
     Minimization of scalar function of one or more variables using the
@@ -440,7 +443,9 @@ def _minimize_neldermead(func, x0, args=(),
callback=None,
     zdelt = 0.00025
     for k in range(0, N):
         y = numpy.array(x0, copy=True)
-        if y[k] != 0:
+        if step[k]:
+            y[k] += step[k]
+        elif y[k] != 0:
             y[k] = (1 + nonzdelt)*y[k]
         else:
             y[k] = zdelt
@@ -2609,6 +2614,8 @@ def show_options(solver=None, method=None):
             Relative error in ``fun(xopt)`` acceptable for convergence.
         maxfev : int
             Maximum number of function evaluations to make.
+        step : ndarray
+            Initial step size.

     *Newton-CG* options:



-- 
Best,
InSuk Joung
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