optimagic-dev / optimagic

optimagic is a Python package for numerical optimization. It is a unified interface to optimizers from SciPy, NlOpt and other packages. optimagic's minimize function works just like SciPy's, so you don't have to adjust your code. You simply get more optimizers for free. On top you get diagnostic tools, parallel numerical derivatives and more.
https://optimagic.readthedocs.io/
MIT License
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Pass on linear constraints to optimizers that can handle them #541

Open ChristianZimpelmann opened 1 month ago

ChristianZimpelmann commented 1 month ago

Current situation

It isn't possible to implement the following three constraints (bounds):

One can introduce a third parameter and make use of a ProbabilityConstraint, but this seems a bit hacky.

Desired Situation

Some packages/optimizers allow for this set of constraints, e.g. SLSQP by scipy or DifferentialEvolutionSolver by mystic

Proposed implementation