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Equivalent of python:scipy.optimize() in C++?

Tags:

c++

python

optimization

scipy

quantlib

Specifically I am looking for an optimizer function like scipy.optimize.fmin_l_bfgs_b .. Can someone help me please ? Or provide pointers ?

Thanks!

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user1341973 Avatar asked May 17 '12 20:05

user1341973

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What is SciPy optimize?

SciPy optimize provides functions for minimizing (or maximizing) objective functions, possibly subject to constraints. It includes solvers for nonlinear problems (with support for both local and global optimization algorithms), linear programing, constrained and nonlinear least-squares, root finding, and curve fitting.

Does optimize belong to SciPy?

The scipy. optimize package provides several commonly used optimization algorithms. A detailed listing is available: scipy. optimize (can also be found by help(scipy.

1 Answers

The dlib C++ library has a number of optimizers in it including L-BFGS. It's free and the optimization tools are header-only so there is nothing to install or configure. There is also a relevant example program that shows you how to use the L-BFGS optimizer.

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Davis King Avatar answered Sep 22 '22 10:09

Davis King
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