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TODO.md

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Modularize Optim.jl

  • Wrap everything in module block
  • Export optimize function.

Priority Changes

  • 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.

Step-Size

  • Add more complex step-size method from Nocedal and Wright.

General Changes

  • Switch over to using base/distributions.jl for all RNG's

Method Changes

  • Revise L-BFGS
  • Add L-BFGS-B
  • 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.

Calculus.jl Changes

  • Write function to estimate the gradient of a function numerically
  • Write function to estimate the Hessian of a function numerically

Docs Changes

  • Improve documentation

Testing Changes

  • 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