[SciPy-Dev] minimizer benchmark

[Pablo Winant]

I have a related question: does anybody knows of a simple minimizer
function written in pure python or cython ? Are there native minimizers in
scipy ?
I'm asking this question because I need to optimize many small problems,
where the overhead of calling the optimizing becomes non-negligible. I
suspect I could achieve big performance gains, if I could call that
function with compiled python code (using numba).

Best,

Pablo


On Mon, Nov 18, 2013 at 5:34 PM, Gael Varoquaux <
gael.varoquaux at normalesup.org> wrote:

> On Mon, Nov 18, 2013 at 03:20:13PM +0000, Jacob Stevenson wrote:
> > The results are interesting with L-BFGS-B outperforming all the others
> > by a significant margin in both total time and total number of function
> > calls.
>
> That seems right. BFGS/LBFGS should in general be prefered to other
> approaches if your problem is smooth without noisy gradient and you know
> nothing about the Hessian. A piece of warning: the clear cut win of
> L-BFGS will depend a bit on the function to optimize. Rosenbrock is
> amongst the nastiest function to optimize. On easer function (eg
> quadratic or close to quadratc) results will differ.
>
> By the way, a somewhat lengthy discussion on this, with benchmark
> scripts, can be found on
>
> http://scipy-lectures.github.io/advanced/mathematical_optimization/index.html
>
> G
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