[SciPy-dev] multi-variable constrained minimization?

[Travis Oliphant]

On Sat, 2002-08-10 at 01:56, eric jones wrote:
> Is there a constrained minimization function for multi-variable
> functions?  optimize.fmin_bound is for scalar functions only from what I
> can tell.  

No.

> 
> If the answer is "no", the next question is whether this is because
> there isn't a good Fortran/C function for this in the libraries we've
> wrapped, or is it because the ones there aren't any good.
> 

I haven't been able to locate any open source constrained minimization
code but I haven't looked recently.   This is an area of active
research, I believe and so codes aren't readily available. 

> The next question would be, does anyone have a suggestion for a library
> we should use for this capability?  There is a library that I've used
> before called CFSQP by Andre Tits that is very good, but it is not open
> source and can't be distributed with scipy (you can get the source by
> emailing the author).  This pretty much rules it out.  Any other
> suggestions?

Perhaps we will have to write our own code for this.  I'd prefer to use
somebody else's code but they may be unwilling to open it because this
is an area that financial people use to accomplish their ends and are
probably willing to pay $$ for the capability.


-Travis