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copied!<p>You can use <a href="http://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html#scipy.optimize.minimize" rel="nofollow"><code>scipy.optimize.minimize</code></a> with <code>jac=True</code>. If that's not an option for some reason, then you can look at <a href="https://github.com/scipy/scipy/blob/master/scipy/optimize/optimize.py#L49" rel="nofollow">how it handles this situation</a>:</p> <pre><code>class MemoizeJac(object): """ Decorator that caches the value gradient of function each time it is called. """ def __init__(self, fun): self.fun = fun self.jac = None self.x = None def __call__(self, x, *args): self.x = numpy.asarray(x).copy() fg = self.fun(x, *args) self.jac = fg[1] return fg[0] def derivative(self, x, *args): if self.jac is not None and numpy.alltrue(x == self.x): return self.jac else: self(x, *args) return self.jac </code></pre> <p>This class wraps a function that returns function value and gradient, keeping a one-element cache and checks that to see if it already knows its result. Usage:</p> <pre><code>fmemo = MemoizeJac(f, fprime) xopt = fmin_cg(fmemo, x0, fmemo.derivative) </code></pre> <p>The strange thing about this code is that it assumes <code>f</code> is always called before <code>fprime</code> (but not every <code>f</code> call is followed by an <code>fprime</code> call). I'm not sure if <code>scipy.optimize</code> actually guarantees that, but the code can be easily adapted to not make that assumption, though. Robust version of the above (<strong>untested</strong>):</p> <pre><code>class MemoizeJac(object): def __init__(self, fun): self.fun = fun self.value, self.jac = None, None self.x = None def _compute(self, x, *args): self.x = numpy.asarray(x).copy() self.value, self.jac = self.fun(x, *args) def __call__(self, x, *args): if self.value is not None and numpy.alltrue(x == self.x): return self.value else: self._compute(x, *args) return self.value def derivative(self, x, *args): if self.jac is not None and numpy.alltrue(x == self.x): return self.jac else: self._compute(x, *args) return self.jac </code></pre>

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