For some numerical experiments (intended by our chief Petro I. Stetsyuk and me) with r-algorithm (that is implemented in OO ralg solver) a good line-search optimizer is required.
As you know scipy.optimize has single-variable box-bounded optimization routine "fminbound" (connected to OO as scipy_fminbound). Unfortunately, it has 2 drawbacks:
- it uses mix of golden section and quadratic spline approximation, and latter works very bad for non-smooth and/or noisy funcs, that we deal with
- sometimes solution returned is out of lb-ub bounds.
So I have implemented pure golden section algorithm into OO solver "goldenSection" (nothing special, just several lines of code).
The golden section algorithm wasalready available in the scikit in the generic framework...
ReplyDelete