Swap out Optim.jl NelderMead.jl (#155)

* add Neldermead, rm Optim, add TableTransforms to test proj

* use neldermead 0.4.0, make sure initial step is valid

* reduce nelder mead xtol_rel

* Apply suggestions from code review

Co-authored-by: Júlio Hoffimann <[email protected]>

* set neldermead intial step to 1

std(α₀) is guaranteed to have a norm of 1, so we can set the nelder mead initial step size to 1 for all cases.

* make neldermead step size 1/2

* Update src/transforms/projectionpursuit.jl

Co-authored-by: Júlio Hoffimann <[email protected]>

Author: jwscook

Project.toml

@@ -8,7 +8,7 @@ AbstractTrees = "1520ce14-60c1-5f80-bbc7-55ef81b5835c"
 CategoricalArrays = "324d7699-5711-5eae-9e2f-1d82baa6b597"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
-Optim = "429524aa-4258-5aef-a3af-852621145aeb"
+NelderMead = "2f6b4ddb-b4ff-44c0-b59b-2ab99302f970"
 PrettyTables = "08abe8d2-0d0c-5749-adfa-8a2ac140af0d"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 ScientificTypes = "321657f4-b219-11e9-178b-2701a2544e81"
@@ -22,7 +22,7 @@ TransformsBase = "28dd2a49-a57a-4bfb-84ca-1a49db9b96b8"
 AbstractTrees = "0.4"
 CategoricalArrays = "0.10"
 Distributions = "0.25"
-Optim = "1.7"
+NelderMead = "0.4.0"
 PrettyTables = "1.3, 2"
 ScientificTypes = "2.3, 3.0"
 StatsBase = "0.33"

src/TableTransforms.jl

@@ -16,7 +16,7 @@ using PrettyTables
 using AbstractTrees
 using CategoricalArrays
 using Random
-using Optim: optimize, minimizer
+using NelderMead: optimise
 
 import Distributions: ContinuousUnivariateDistribution
 import Distributions: quantile, cdf

src/transforms/projectionpursuit.jl

@@ -111,8 +111,7 @@ end
 
 function neldermead(transform, Z, α₀)
   f(α) = -pindex(transform, Z, α ./ norm(α))
-  op = optimize(f, α₀)
-  minimizer(op)
+  optimise(f, α₀, 1/2, xtol_rel=10eps()) |> first
 end
 
 function alphamax(transform, Z)
@@ -197,4 +196,4 @@ function revertfeat(::ProjectionPursuit, newtable, fcache)
 
   𝒯 = (; zip(names, eachcol(Z))...)
   newtable = 𝒯 |> Tables.materializer(newtable)
-end
+end