Try COBYLA as MCMC alternative

[hombit]

https://lib.rs/crates/cobyla

[zaikunzhang]

Hi @hombit

This is Dr. Zaikun Zhang from the Hong Kong Polytechnic University. Together with Professor N.I.M. Gould, I am responsible for maintaining the derivative-free optimization solvers of the late Professor M.J.D. Powell. I have developed PRIMA, which is a package for solving general nonlinear optimization problems without using derivatives. It provides the reference implementation for Powell's derivative-free optimization methods, i.e., COBYLA, UOBYQA, NEWUOA, BOBYQA, and LINCOA.

If you are interested in trying Powell's methods, it is advised to use the PRIMA implementation, as The Fortran 77 code of COBYLA is not maintained anymore.

Although the Fortran 77 code is truly a masterpiece, it contains many bugs, most of which are due to the language itself. For example, see Section 4.4 of our recent paper and the GitHub issues / requests listed at the GitHub repo of PRIMA.

If you would like to use PRIMA, I will be glad to provide assistance if help is needed.

Thanks.

Best regards,
Zaikun Zhang, Ph.D. and Assistant Professor
Department of Applied Mathematics
The Hong Kong Polytechnic University
Hong Kong, China

[hombit]

Hi @zaikunzhang, your project looks fantastic! However this repository is for a project written in Rust and I was looking for libraries written in Rust or at least having Rust bindings. Though C wrapper you provide should be easy bind to Rust, I personally have no energy for such a project right now