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Feature Request: parallel Nelder-Mead #268
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Should be relatively easy to implement. I don't have time right now. Others might, or I might return to it at a later point in time. I will have to read the papers to say anything qualified on the matter :) However, I can say that benchmarking NelderMead on the large CUTEst problems is currently not possible, as it takes too long, so it would be great to improve on that! |
I would say that we shouldn't work on this until Julia's threading support is finished. I think it would be a mistake to do this using distributed computing by default. |
This is mentioned in #326 so closing this, as there is no plan here. |
Curious if the parallel optim ever got implemented. |
Nelder-Mead is often used for slow models, sometimes requiring multiple seconds per evaluation. Such cases would greatly benefit from a parallel implementation of the Nelder-Mead method. It appears that a few parallel implementations exist, which are listed below.
http://link.springer.com/article/10.1007/s10614-007-9094-2
http://link.springer.com/article/10.1007/s10614-013-9377-8
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