[SciPy-Dev] GSoC 2017 - Large-scale Constrained Optimization

[Phillip Feldman]

Hello Antonio,

Is it true that there is currently no interior point optimizer in SciPy?
If so, your algorithm will be an extremely valuable addition.

Phillip

P.S. `scipy.optimize.lsq_linear` is described as "interior-point-like", but
I'm not entirely sure what this means.

On Mon, Aug 28, 2017 at 3:47 PM, Antonio Ribeiro <antonior92 at gmail.com>
wrote:

> Hi all,
>
> During the last few months I have worked on my Google Summer of Code
> (GSoC) project, that consists of implementing a large-scale optimization
> algorithm to be integrated to Scipy.
>
> The algorithm implemented was an interior point method described in <
> https://antonior92.github.io/posts/2017/07/interior-point-method/>. A
> series of blog post describe different aspects of the algorithm and its use
> <https://antonior92.github.io/tags/#gsoc-2017>.
>
> The implementation can be found on the separate repository:
>
> <https://github.com/antonior92/ip-nonlinear-solver>
>
> and is being integrated to SciPy through the pull request #7729
>
> <https://github.com/scipy/scipy/pull/7729>
>
> During my GSoC I have implemented the optimization algorithm, tested it on
> almost one hundred examples <https://antonior92.github.io/posts/2017/00/
> NumericalResults/> and created an interface for using it. While the
> optimization solver is ready to be used and tested, there are still a
> features I want to include, namely quasi-Newton approximations to the
> Hessian matrix including: SR1 approximation; BFGS approximation; and,
> L-BFGS approximation. I included those as optional items on my GSoC
> proposal and, unfortunately, they will not be ready for the GSoC
> submission.  Furthermore, there are still some questions about how to best
> integrate my implementation to the optimization SciPy library that are
> still under discussion. However, I will tend to those final points in the
> weeks following the end of the program.
>
> Finally, I would like to thanks SciPy community and my mentors: Nikolay,
> Matt and Ralf, with whom I have greatly enjoyed the opportunity to work
> with during these three months.
>
> Antônio H. Ribeiro
>
> _______________________________________________
> SciPy-Dev mailing list
> SciPy-Dev at python.org
> https://mail.python.org/mailman/listinfo/scipy-dev
>
>
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://mail.python.org/pipermail/scipy-dev/attachments/20170828/0e03a1b5/attachment-0001.html>