What is the closest function to R's nlminb in

问题:

Python scipy.optimize.minimize function supports the following methods:

• Nelder-Mead
• Powell
• CG
• BFGS
• Newton-CG
• L-BFGS-B
• TNC
• COBYLA
• SLSQP
• trust-constr
• dogleg
• trust-ncg
• trust-exact
• trust-krylov

Which method is closest to R's nlminb?

回答1:

nlminb is an unconstrained and bounds-constrained quasi-Newton method optimizer. This code is based on a FORTRAN PORT library by David Gay in the Bell Labs. As for Pyhon quasi-Newton menthods are:

Unconstrained minimization

Method BFGS uses the quasi-Newton method of Broyden, Fletcher, Goldfarb, > > and Shanno (BFGS) [5] pp. 136.

Bound-Constrained minimization

Method L-BFGS-B uses the L-BFGS-B algorithm [6], [7] for bound constrained minimization.

L-BFGS-B & BFGS, being a member of quasi-Newton family methods, are the closest analogs of nlminb.