fminslp
argmin
| fminslp | argmin | |
|---|---|---|
| 2 | 2 | |
| 4 | 889 | |
| - | 1.8% | |
| 0.0 | 9.2 | |
| almost 4 years ago | 21 days ago | |
| MATLAB | Rust | |
| - | Apache License 2.0 |
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fminslp
- Solver for nonlinear MPC
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Mma Algorithm And Constraints Approximation
You can get some inspiration here. It is an SLP optimizer, wrapped around a convergence filter combined with an adaptive move limit scheme. You could in theory replace the linear optimizer with your mma version, and utilize the rest of the framework (convergence filter + adaptive move limits) I also handle constraints in a similar fashion as mma, so you should be able to see some similarities 😉
argmin
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Rust concepts I wish I learned earlier
Two things that might help Rust a lot despite the complexity is the tooling and the ecosystem. Cargo is good, the compiler is extremely helpful, and there are a lot of crates to build on for all sorts of tasks.
For example, if I need to use simulated annealing to solve an optimization problem, there already exist libraries that implement that algorithm well.[1] Unfortunately, the Haskell library for this seems to be unmaintained[2] and so does the OCaml library that I can find.[3] Similarly, Agda, Idris, and Lean 4 all seem like great languages. But not having libraries for one's tasks is a big obstacle to adoption.
Nim looks very promising. (Surprisingly so to me.) Hopefully they will succeed at gaining wider recognition and growing a healthy ecosystem.
[1] E.g., https://github.com/argmin-rs/argmin
[2] https://hackage.haskell.org/package/hmatrix-gsl-0.19.0.1 was released in 2018. (Although there are newer commits in the GitHub repo, https://github.com/haskell-numerics/hmatrix. Not too sure what is going on.)
[3] https://github.com/khigia/ocaml-anneal
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Is there a library for non-linear optimization in Rust?
You might find interest in argmin, a collection of common optimization algorithms.
What are some alternatives?
optimization-engine - Nonconvex embedded optimization: code generation for fast real-time optimization
ceres-solver - A large scale non-linear optimization library
cmaes - A Rust implementation of the CMA-ES optimization algorithm.
keyboard_layout_optimizer - A keyboard layout optimizer supporting multiple layers. Implemented in Rust.
Peroxide - Rust numeric library with R, MATLAB & Python syntax
good_lp - Linear Programming for Rust, with a user-friendly API. This crate allows modeling LP problems, and lets you solve them with various solvers.
image-shrinker-lite - Drag-and-drop image compression app.
cvxportfolio - Portfolio optimization and back-testing.
pybobyqa - Python-based Derivative-Free Optimization with Bound Constraints
hmatrix - Linear algebra and numerical computation
ocaml-anneal - Simulated annealing implementation in OCaml