Minimize a piecewise linear, convex function with scipy
If the function is piecewise linear and convex, the minimum must be at one of the points where the linear pieces are connected. There is no need for a derivative, you should be able to use a binary search.
I want to find the minimum of a function which is piecewise linear, convex and differentiable at all but a finite number of points. What scipy.optimize.minimize method is appropriate to find a fast solution to my problem?