171 votesAnonymous 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 ·