python Trust Region Optimization
Project description
Fides - A python package for Trust Region Optimization
About Fides
Fides implements an Interior Trust Region Reflective for boundary constrained 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 yield 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
available at Read the Docs.
Features
- Boundary constrained interior trust-region optimization
- Reflective, truncated and optimization based boundary heuristics
- Exact, 2D and CG subproblem solvers
- BFGS, DFP, SR1 and Hybrid Hessian Approximations
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