pyfmincon

A direct Python bridge to Matlab's fmincon. No file i/o, sockets, or other hacks.

• opt.py and optimize.m are the required files.
• example.py is a working example.

Requirements:

• A license for Matlab and its optimization toolbox
• Install the Matlab Engine for Python

Capabilities:

• can pass any fmincon option
• can provide gradients or not
• can handle an arbitrary number of inequality constraints (equality constraints not yet enabled but could be)
• handles separating objective and constraint calls automatically while not wasting function calls

Multiple Versions of Python

• If after installing the matlab engine you still have trouble importing ,then you may have multiple versions of Python and it's pulling the wrong library. You may need to set DYLD_FALLBACK_LIBRARY_PATH as described here.
• You may also need to set the version of Python you want to use in Matlab with pyversion. Alternatively, the script lets you pass this argument in directly (with setpython).