- Wrap everything in module block
- Export
optimize
function.
- Set up Nelder-Mead to automatically create points around a starting vector.
- Add even more default variations.
- Get benchmarks to run on all of the problems provided.
- Make
optimize()
the best function to use.
- Add more complex step-size method from Nocedal and Wright.
- Switch over to using
base/distributions.jl
for all RNG's
- Revise L-BFGS
- Add L-BFGS-B
- Add Brent's method
- Add all methods from Boyd and Vanderberghe's Convex Optimization book
- Add all methods from Nocedal and Wright's book
- Incorporate conjugate gradient code or write from scratch.
- Write function to estimate the gradient of a function numerically
- Write function to estimate the Hessian of a function numerically
- Improve documentation
- Improve tests using both 1D and 2D problems
- Need to get ridge regression example to produce same solution as
glmnet()
in R - All methods should be tested and timed on:
- Rosenbrock
- Powell's
- Simple parabola in 5D
- Track run time (after initial compiling run), number of iterations