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PyOptim Python numerical optimization toolbox

Build Status Documentation Status

This toolob aim at providing a unified interface to generic optimizers 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, guroby or 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)

Contributors

The main contributors of this module are: