Allow parallel function calls

[thomasahle]

Is there a way to run the objective function in parallel? Ideally something like the "ask and tell" interface to skopt: https://scikit-optimize.github.io/auto_examples/ask-and-tell.html

[andim]

Adding some functionality of this sort sounds like a great idea! Would be happy to accept a pull-request implementing such an interface. Unfortunately currently this is not implemented.

[microprediction]

Would this pattern work? No change to the optimization code required. https://github.com/microprediction/humpday/blob/main/Embarrassingly_SHGO.ipynb