[SciPy-user] lagrange multipliers in python
Dominique Orban
dominique.orban at gmail.com
Fri Jun 15 15:51:22 EDT 2007
Bill Baxter wrote:
> On 6/16/07, Dominique Orban <dominique.orban at 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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