Interface with sequential optimization algorithms

[romainbrette]

I think it would be useful to interface with sequential optimization algorithms. For example, lmfit has support for parameter bounds. Our choice of using parallelizable algorithms is for performance reasons, but in practice I found that around 100 000 runs are necessary to fit a model to our data. So, it could very well be that using a more standard sequential algorithm requires fewer runs and ends up being more efficient.

I guess it should be possible to make an ask and tell interface for such algorithms. For example, the algorithm (eg lmfit) runs in a separate thread and calls a function f, which informs an ask method, blocks, and unblocks when tell is called.

[romainbrette]

I could imagine that we typically start with a population-based algorithm, then refine with a sequential algorithm.

[mstimberg]

Closed via #28