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    started  ·  14 comments  ·  Math.NET Numerics  ·  Flag idea as inappropriate…  ·  Admin →
    Anonymous commented  · 

    It would be wonderful to have a couple of optimization algorithms in the library.

    I wote for BFGS (turns very efficient in many practical cases) and Conjugate gradient (low memory requirements, more robust and easier to use on ill-conditioned problems) for nonlinear unconstrained minimization first.

    Next steps could be SQP for constraint problems, and in the other direction stochastic methods (e.g. a genetic algorithm, particle swarm or similar).

    Something already exist in dnAnalytics, could that be used?

    Anonymous supported this idea  · 

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