fides 0.0.1

python Trust Region Optimization

Fides - A python package for Trust Region Optimization

Fides implements an Interior Trust Region Reflective optimizer based on the papers [ColemanLi1994] and [ColemanLi1996]. In contrast to other optimizers, the trust-region subproblem can be solved exactly, which yields higher quality proposal steps, but is computationally more expensive. This makes Fides particularly attractive for optimization problems with objective functions that are computationally expensive to evaluate and the computational cost of solving the trust-region subproblem is negligible.

To emphasize this ideal of reliably computing good proposal steps, Fides is named after the Roman goddess of trust and reliability.