shgofast 0.1.3

Monkey-patched acceleration for the SHGO optimizer.

SHGOFAST

A monkey-patched Cython/C++ backend for bottleneck functions and classes of the scipy.optimize.shgo code using the simplicial sampling method.

Install

The module can be installed using your preferred pip command from the source archives root directory (where this README resides).

The installation requires a reasonably modern C++ compiler (tested with g++ 13.1.1) and the boost software library (tested with version 1.81.0). If boost is not available, defining the C++ macro STD_SET_ONLY will use only standard library components.

Use

Simply import the patch and unpatch functions from shgofast:

from scipy.optimize import shgo
from shgofast import patch
patch()

# This should run faster now if cost_fun is not the bottleneck:
shgo(cost_fun, sampling_method='simplicial', **kwargs)

Improvement

From a one-shot measurement, execution time of identical shgo calls has been reduced from 13 seconds to 2.5 seconds for a four-dimensional problem in which shgo was not limited by the function but foremost by the VertexCacheField.proc_minimisers method.

Changelog

The format is based on Keep a Changelog, and this project adheres to Semantic Versioning.

[0.1.3] - 2024-09-22

• Add missing NumPy dependency to build environment.

[0.1.2] - 2023-12-29

• Add missing shgofast/vertex.pyx to MANIFEST.in.

[0.1.1] - 2023-12-29

• Fix inclusion of build files using MANIFEST.in.

[0.1.0] - 2023-12-29

• Initial version.