CODEWITHSUNDEEP
pythondocumentationscipy-optimizelmfit
user171780
user171780

Reputation: 3085

lmfit/scipy.optimize minimization methods description?

Is there any place with a brief description of each of the algorithms for the parameter method in the minimize function of the lmfit package? Both there and in the documentation of SciPy there is no explanation about the details of each algorithm. Right now I know I can choose between them but I don't know which one to choose...

My current problem

I am using lmfit in Python to minimize a function. I want to minimize the function within a finite and predefined range where the function has the following characteristics:

This makes many minimization algorithms to not work. Right now I am using a combination of the brute force method (method="brute") to find a point close to the peak and then feed this value to the Nelder-Mead algorithm (method="nelder") to finally perform the minimization. It is working approximately 50 % of the times, and the other 50 % of the times it fails to find the minimum. I wonder if there are better algorithms for cases like this one...

Upvotes: 0

Views: 365

Answers (1)

M Newville
M Newville

Reputation: 7862

I think it is a fair point that docs for lmfit (such as https://lmfit.github.io/lmfit-py/fitting.html#fit-methods-table) and scipy.optimize (such as https://docs.scipy.org/doc/scipy/reference/tutorial/optimize.html#optimization-scipy-optimize) do not give detailed mathematical descriptions of the algorithms. Then again, most of the docs for scipy, numpy, and related libraries describe how to use the methods, but do not describe in much mathematical detail how the algorithms work.

In fairness, the different optimization algorithms share many features and the differences between them can get pretty technical. All of these methods try to minimize some metric (often called "cost" or "residual") by changing the values of parameters for the supplied function.

It sort of takes a text book (or at least a Wikipedia page) to establish the concepts and mathematical terms used for these methods, and then a paper (or at least a Wikipedia page) to describe how each method differs from the others. So, I think the basic answer would be to look up the different methods.

Upvotes: 1

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