[SciPy-User] scipy.optimize.minimize constraint optimization

[Daπid]

On 29 November 2013 10:29, Kevin Kunzmann <kevinkunzmann at gmx.net> wrote:

> So I inspected the iteration steps closely and the problem
> seems to be, that the bounds / constraints are not respected in every
> step.
>

That is a heisenbug that has been heard of, but it would be great if you
could provide a working (failing) example to investigate it further.

If you want to be sure, you could do what software like Minuit does, apply
a transformation of your input variables, so that the problem becomes
unbounded. If you variable y must lie between a and b, the unbounded
variable ŷ is defined as:

ŷ= arcsin(2((y -a)/(b- a))-1)



All the details:
http://root.cern.ch/root/html/TMinuit.html

Regards
/David.
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