[SciPy-User] optimization with multiple processors.
J. David Lee
johnl at cs.wisc.edu
Mon Aug 13 16:49:35 EDT 2012
Hello everyone.
For my work I will need to perform an optimization using an objective
function that is slow to evaluate (a few to tens of minutes). I have
access to a virtually unlimited number of processors for my work to
speed this up, but the optimization routines in scipy are all single
threaded.
I see two simple ways to utilize multiple processors for newton-like or
gradient-descent optimization methods:
1) numerical gradient or Jacobian calculation
2) line search
To some extent, parallel processing could be applied to a simplex-like
method as well (the simplest example would be doing parallel computation
of reflection, extension and contraction points).
I think this functionality would fit perfectly in scipy, and I will be
working on it in any event, so if anyone would be interested in
collaborating or providing guidance, please let me know.
Thanks,
David
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