Brent Minimizer #728
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Brent Minimizer #728
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I was one of the people who worked on getting the existing minimizers/solvers into MathNet Numerics. I underestimated the effort left where I took it up and while we got some solvers merged there's a lot of things that could be improved and added. To me this looks like a great initiative (I'm not a maintainer though). |
blhough
reviewed
Jan 8, 2021
| var obj = ObjectiveFunction.ScalarValue(f1); | ||
| var r1 = algorithm.FindMinimum(obj, -2, 2); | ||
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| Assert.That(Math.Abs(r1.MinimizingPoint - 3.0), Is.LessThan(1e-4)); |
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The upper bound is x≤2 so it should not reach the global min at x=3.
I believe the expected MinimizingPoint is x=2
The GoldenSectionMinimizer actually has a bug where it doesn't respect the bounds
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Hi all,
I recently was looking for a Brent minimizer when porting some python code to C# and I was hoping to find it here.
FindMinimum.OfScalarFunctionConstrained()was pretty close, but given it is Golden Section under the covers, there were discrepancies with some inputs. I ended up porting the version from scipy _minimize_scalar_bounded().I'd love to give back and contribute this port (and perhaps expand on it a little bit). Is this something of interest to the project? I've started a PR with a simple mock up of the rough API and tests I was thinking about (copied from GoldenSectionMinimizer).
Also, I noticed that there was quite a history with optimizers (#489, #173), so I thought I'd check first. I see that a BrentMinimizer class was considered in the past optimization-1. But it doesn't look like this has been updated in quite some time. Any insight here would be great.