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?

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?

http://www.koders.com/csharp/fidA522A433065B5D359C943562507882606B1AD25D.aspx?s=search#L15