Free Python optimization framework

Friday, January 18, 2008

New OO class: MMP (mini-max problem)

New OO class has been created: MMP (mini-max problem).

Currently single OO solver available for MMP is nsmm ("non-somooth mini-max", unconstrained, can handle 1st derivatives, non-smooth, ill-conditioned and noisy funcs)
It defines function
F(x) = max_i {f[i](x)}
and solves NSP
F(x) -> min
using solver ralg.

It's very far from specialized solvers (like MATLAB fminimax), but it's better than having nothing at all.
This solver is intended to be enhanced in future (first of all - add constraints).
Here's example/ graphical output:

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