IPython Interactive Computing and Visualization Cookbook

Minimizing a mathematical function

Mathematical optimization deals mainly with the problem of finding a minimum or a maximum of a mathematical function. Frequently, a real-world numerical problem can be expressed as a function minimization problem. Such examples can be found in statistical inference, machine learning, graph theory, and other areas.

Although there are many function minimization algorithms, a generic and universal method does not exist. Therefore, it is important to understand the differences between existing classes of algorithms, their specificities, and their respective use cases. We should also have a good understanding of our problem and our objective function; is it continuous, differentiable, convex, multidimensional, regular, ...