nelder_med.py

from scipy.optimize import minimize

#alloff contains 5 fold prediction on all dataset (avoid data leak)

def min_func(K):
    ypredtrain = 0
    for a in range(len(alloof)):

        ypredtrain += K[a]*alloof[a]

    return 1/get_score(tmpdf["score"],ypredtrain)

res = minimize(min_func, [1/len(alloof)]*len(alloof), method='Nelder-Mead', tol=1e-6)
K = res.x
res