Brent Minimizer

[rfellers]

Hi all,

I recently was looking for a Brent minimizer when porting some python code to C# and I was hoping to find it here. FindMinimum.OfScalarFunctionConstrained() was pretty close, but given it is Golden Section under the covers, there were discrepancies with some inputs. I ended up porting the version from scipy _minimize_scalar_bounded().

I'd love to give back and contribute this port (and perhaps expand on it a little bit). Is this something of interest to the project? I've started a PR with a simple mock up of the rough API and tests I was thinking about (copied from GoldenSectionMinimizer).

Also, I noticed that there was quite a history with optimizers (#489, #173), so I thought I'd check first. I see that a BrentMinimizer class was considered in the past optimization-1. But it doesn't look like this has been updated in quite some time. Any insight here would be great.

[eriove]

I was one of the people who worked on getting the existing minimizers/solvers into MathNet Numerics. I underestimated the effort left where I took it up and while we got some solvers merged there's a lot of things that could be improved and added.

To me this looks like a great initiative (I'm not a maintainer though).