[SciPy-User] Least-squares fittings with bounds: why is scipy not up to the task?

[Eric Emsellem]

> Yes, see https://github.com/newville/lmfit-py,  which does everything 
> you ask for, and a bit more, with the possible exception of "being 
> included in scipy".   For what its worth, I work with Mark Rivers 
> (who's no longer actively developing Python), and our group is full of 
> IDL users who are very familiar with Markwardt's implementation.
>
> The lmfit-py version uses scipy.optimize.leastsq(), which uses MINPACK 
> directly, so has the advantage of not being implemented in pure IDL or 
> Python. It is definitely faster than mpfit.py.
>
> With lmfit-py, one writes a python function-to-minimize that takes a 
> list of Parameters instead of the array of floating point variables 
> that scipy.optimize.leastsq() uses. Each Parameter can be freely 
> varied of fixed, have upper and/or lower bounds placed on them, or be 
> written as algebraic expressions of other Parameters.   Uncertainties 
> in varied Parameters and correlations between Parameters are estimated 
> using the same "scaled covariance" method as used in 
> scipy.optimize.curve_fit().   There is limited support for 
> optimization methods other than scipy.optimize.leastsq(), but I don't 
> find these methods to be very useful for the kind of fitting  problems 
> I normally see, so support for them may not be perfect.
>
> Whether this gets included into scipy is up to the scipy developers. 
> I'd be happy to support this module within scipy or outside scipy.
> I have no doubt that improvements could be made to lmfit.py.   If you 
> have suggestion, I'd be happy to hear them.

looks great! I'll have a go at this, as mentioned in my previous post. I 
believe that leastsq is probably the fastest anyway (according to the 
test Adam mentioned to me today) so this could be it. I'll make a test 
and compare it with mpfit (for the specific case I am thinking of, I am 
optimising over ~10^5-6 points with ~90 parameters...).

thanks again for this, and I'll try to report on this (if relevant) asap.

Eric