CODEWITHSUNDEEP
pythonscipy
St123
St123

Reputation: 320

Minimize a piecewise linear, convex function with scipy

I want to find the minimum of a function which is piecewise linear, convex and differentiable at all but a finite number of points. What scipy.optimize.minimize method is appropriate to find a fast solution to my problem?

Upvotes: 0

Views: 314

Answers (1)

jdowner
jdowner

Reputation: 736

If the function is piecewise linear and convex, the minimum must be at one of the points where the linear pieces are connected. There is no need for a derivative, you should be able to use a binary search.

Upvotes: 2

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