fides 0.2.5

python Trust Region Optimization

Fides - A python package for Trust Region Optimization

About Fides

Fides implements an Interior Trust Region Reflective for boundary costrained optimization problems based on the papers [ColemanLi1994] and [ColemanLi1996 ]. Accordingly, Fides is named after the Roman goddess of trust and reliability. In contrast to other optimizers, Fides solves the full trust -region subproblem exactly, which can 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.

Fides can be installed via pip install fides. Further documentation is avaliable at Read the Docs.

Features

• Boundary constrained interior trust-region optimization
• Recursive Reflective and Truncated constraint management
• Full and 2D subproblem solution solvers
• BFGS, DFP and SR1 Hessian Approximations