[Numpy-discussion] N dimensional dichotomy optimization

[Gael Varoquaux]

On Tue, Nov 23, 2010 at 10:19:06AM -0500, josef.pktd at gmail.com wrote:
> > I have a Nelder-Mead that seems to be working quite well on a few toy
> > problems.

> Assuming your function is well behaved, one possible idea is to try
> replacing the integer objective function with a continuous
> interpolation. Or maybe fit a bellshaped curve to a few gridpoints. It
> might get you faster into the right neighborhood to do an exact
> search.

I've actually been wondering if Gaussian Process regression (aka Krigin)
would not be useful here :). It's fairly good at fitting processes for
which there is very irregular information.

Now I am perfectly aware that any move in this direction would require
significant work, so this is more day dreaming than project planning.

Gael