PyOptim Python numerical optimization¶
Contents¶
for standard (LP,QP) and gradient based optimization problems (LBFGS, Proximal Splitting, Projected gradient).
As of now it provides the following solvers:
- Linear Program (LP) solver using scipy, cvxopt, or GUROBI solver.
- Quadratic Program (QP) solvers using cvxopt aor quadprog.
- Proximal spliting (a.k.a. ISTA) gradient descent for non smooth optimization.
- Spectral Projected Gradient solvers (spectral is optionnal but strongly recommended).
- Conditional gradient solver.
Planned integration are:
- L-BFGS for smooth optimization (interface to scipy and others)
- Stochastic gradients
Installation¶
The library has been tested on Linux, MacOSX and Windows.
The following Python modules are necessary and intalled automaticaly with:
- Numpy (>=1.11)
- Scipy (>=1.0)
- Cvxopt
The following modules are optional but obviously necessary to the solvers using them:
- Quadprog
- Gurobipy (official Python interface of GUROBI)
- Stdgrb
You can install the toolbox by downloading it and then running:
python setup.py install --user # for user install (no root)