/fides-cpp

Trust region optimization in C++

Primary LanguageC++OtherNOASSERTION

fides-cpp - C++ implementation of the fides Python package for trust region optimization

About

The fides-cpp library provides a C++ implementation of the fides Python package, that implements an interior trust region reflective strategy for solving boundary-constrained optimization problems, based on the papers ColemanLi1994 and ColemanLi1996.

Features

  • Boundary constrained interior trust-region optimization
  • Recursive, reflective and truncated constraint management
  • Full and 2D subproblem solution solvers
  • BFGS, DFP and SR1 Hessian approximations

Requirements

  • C++17 compiler
  • CMake
  • LAPACK library
  • Blaze