SciRS2 Optimization Module

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scirs2-optimize is a production-ready optimization library providing comprehensive algorithms for unconstrained and constrained optimization, least-squares problems, root finding, and global optimization. It provides a high-performance Rust implementation of SciPy's optimization functionality with an ergonomic API, advanced features, and excellent performance.

Features

🚀 Core Optimization Methods

Unconstrained Optimization

• Nelder-Mead simplex algorithm with adaptive parameters
• BFGS and L-BFGS quasi-Newton methods
• Powell's direction set method with line search
• Conjugate Gradient with Polak-Ribière and Fletcher-Reeves variants
• Full bounds support for all methods

Constrained Optimization

• SLSQP (Sequential Least Squares Programming)
• Trust Region Constrained algorithm
• Augmented Lagrangian methods
• Advanced constraint handling

Least Squares Optimization

• Levenberg-Marquardt with adaptive damping
• Trust Region Reflective algorithm
• Robust variants: Huber, Bisquare, Cauchy loss functions
• Weighted, bounded, separable, and total least squares

Root Finding

• Hybrid methods (modified Powell)
• Broyden's methods (Good and Bad variants)
• Anderson acceleration for iterative methods
• Krylov subspace methods (GMRES)

🌍 Global Optimization

Metaheuristic Algorithms

• Differential Evolution with adaptive strategies
• Particle Swarm Optimization
• Simulated Annealing with adaptive cooling
• Basin-hopping with local search
• Dual Annealing combining fast and classical annealing

Bayesian Optimization

• Gaussian Process surrogate models
• Multiple acquisition functions (EI, LCB, PI)
• Automatic hyperparameter tuning
• Multi-start and clustering strategies

Multi-objective Optimization

• NSGA-II for bi-objective problems
• NSGA-III for many-objective problems
• Scalarization methods (weighted sum, Tchebycheff, ε-constraint)

⚡ Performance & Advanced Features

High Performance Computing

• Parallel evaluation with configurable worker threads
• SIMD-accelerated operations
• Memory-efficient algorithms for large-scale problems
• JIT compilation for performance-critical functions

Automatic Differentiation

• Forward-mode AD for gradient computation
• Reverse-mode AD for high-dimensional problems
• Sparse numerical differentiation

Stochastic Optimization

• SGD variants with momentum and Nesterov acceleration
• Adam, AdamW, RMSprop optimizers
• Mini-batch processing for large datasets
• Adaptive learning rate schedules

Specialized Methods

• Async optimization for slow function evaluations
• Sparse matrix optimization
• Multi-start strategies with clustering

Installation

Add the following to your Cargo.toml:

[dependencies]
scirs2-optimize = "0.1.0-beta.2"

For advanced features, enable optional feature flags:

[dependencies]
scirs2-optimize = { version = "0.1.0-beta.2", features = ["async"] }

Quick Start

Basic Unconstrained Optimization

use scirs2_optimize::prelude::*;

// Minimize the Rosenbrock function
fn rosenbrock(x: &[f64]) -> f64 {
    let (a, b) = (1.0, 100.0);
    (a - x[0]).powi(2) + b * (x[1] - x[0].powi(2)).powi(2)
}

fn main() -> Result<(), OptimizeError> {
    let result = minimize(rosenbrock, &[0.0, 0.0], UnconstrainedMethod::BFGS, None)?;
    println!("Minimum at: {:?} with value: {:.6}", result.x, result.fun);
    Ok(())
}

Global Optimization

use scirs2_optimize::prelude::*;

fn main() -> Result<(), OptimizeError> {
    // Find global minimum using Differential Evolution
    let bounds = vec![(-5.0, 5.0), (-5.0, 5.0)];
    let result = differential_evolution(rosenbrock, &bounds, None)?;
    println!("Global minimum: {:?}", result.x);
    Ok(())
}

Robust Least Squares

use scirs2_optimize::prelude::*;
use ndarray::Array1;

fn residual(params: &[f64], data: &[f64]) -> Array1<f64> {
    // Linear regression residuals
    let n = data.len() / 2;
    let (x_vals, y_vals) = data.split_at(n);
    
    Array1::from_iter((0..n).map(|i| 
        y_vals[i] - (params[0] + params[1] * x_vals[i])
    ))
}

fn main() -> Result<(), OptimizeError> {
    let data = vec![0., 1., 2., 3., 4., 0.1, 0.9, 2.1, 2.9, 10.0]; // with outlier
    let result = robust_least_squares(
        residual, &[0.0, 0.0], HuberLoss::new(1.0), None, &data, None
    )?;
    println!("Robust fit: intercept={:.3}, slope={:.3}", result.x[0], result.x[1]);
    Ok(())
}

Bayesian Optimization

use scirs2_optimize::prelude::*;

fn main() -> Result<(), OptimizeError> {
    let space = Space::new(vec![
        Parameter::Real { name: "x".to_string(), low: -5.0, high: 5.0 },
        Parameter::Real { name: "y".to_string(), low: -5.0, high: 5.0 },
    ]);
    
    let result = bayesian_optimization(rosenbrock, &space, None)?;
    println!("Bayesian optimum: {:?}", result.x);
    Ok(())
}

Why Choose scirs2-optimize?

🔒 Production Ready

• Stable API with comprehensive error handling
• Extensive test coverage and numerical validation
• Memory-safe implementation with zero-cost abstractions

⚡ High Performance

• SIMD-accelerated operations where applicable
• Parallel evaluation support
• Memory-efficient algorithms for large-scale problems
• JIT compilation for critical performance paths

🧠 Intelligent Defaults

• Robust numerical stability safeguards
• Adaptive parameters that work across problem types
• Automatic algorithm selection helpers

🔧 Comprehensive Toolkit

• Complete SciPy optimize API coverage
• Advanced methods beyond SciPy (Bayesian optimization, multi-objective)
• Seamless integration with ndarray ecosystem

📊 Scientific Computing Focus

• IEEE 754 compliance and careful numerical handling
• Extensive documentation with mathematical background
• Benchmarked against reference implementations

Algorithm Selection Guide

Integration & Ecosystem

• Zero-copy integration with ndarray and nalgebra
• Feature flags for optional dependencies (async, BLAS backends)
• Workspace compatibility with other scirs2 modules
• C API bindings available for integration with existing codebases

License

This project is dual-licensed under:

• MIT License
• Apache License Version 2.0

You can choose to use either license. See the LICENSE file for details.