Support for constraints

[ogencoglu]

Thanks for the work.

scipy's L-BFGS-B supports constraints: https://docs.scipy.org/doc/scipy/reference/optimize.minimize-lbfgsb.html#optimize-minimize-lbfgsb

Do you plan to add such support?

[florafauna]

Short answer: no.

minimize_parallel() is only implemented for the method "L-BFGS-B", which supports bounds, but not constraints, see https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.fmin_l_bfgs_b.html#scipy.optimize.fmin_l_bfgs_b. Other optimization algorithms that support constraints may require a different parallelization approach. This is not currently planned as part of the project.

Of course, I will evaluate PRs that offer parallel implementations of optimizers other than L-BFGS-B. Contributions are welcome.