Turn functions with a callback into Python generators?

As pointed in the comments, you could do it in a new thread, using Queue. The drawback is that you’d still need some way to access the final result (what fmin returns at the end). My example below uses an optional callback to do something with it (another option would be to just yield it also, though your calling code would have to differentiate between iteration results and final results):

from thread import start_new_thread
from Queue import Queue

def my_fmin(func, x0, end_callback=(lambda x:x), timeout=None):

    q = Queue() # fmin produces, the generator consumes
    job_done = object() # signals the processing is done

    # Producer
    def my_callback(x):
        q.put(x)
    def task():
        ret = scipy.optimize.fmin(func,x0,callback=my_callback)
        q.put(job_done)
        end_callback(ret) # "Returns" the result of the main call

    # Starts fmin in a new thread
    start_new_thread(task,())

    # Consumer
    while True:
        next_item = q.get(True,timeout) # Blocks until an input is available
        if next_item is job_done:
            break
        yield next_item

Update: to block the execution of the next iteration until the consumer has finished processing the last one, it’s also necessary to use task_done and join.

    # Producer
    def my_callback(x):
        q.put(x)
        q.join() # Blocks until task_done is called

    # Consumer
    while True:
        next_item = q.get(True,timeout) # Blocks until an input is available
        if next_item is job_done:
            break
        yield next_item
        q.task_done() # Unblocks the producer, so a new iteration can start

Note that maxsize=1 is not necessary, since no new item will be added to the queue until the last one is consumed.

Update 2: Also note that, unless all items are eventually retrieved by this generator, the created thread will deadlock (it will block forever and its resources will never be released). The producer is waiting on the queue, and since it stores a reference to that queue, it will never be reclaimed by the gc even if the consumer is. The queue will then become unreachable, so nobody will be able to release the lock.

A clean solution for that is unknown, if possible at all (since it would depend on the particular function used in the place of fmin). A workaround could be made using timeout, having the producer raises an exception if put blocks for too long:

    q = Queue(maxsize=1)

    # Producer
    def my_callback(x):
        q.put(x)
        q.put("dummy",True,timeout) # Blocks until the first result is retrieved
        q.join() # Blocks again until task_done is called

    # Consumer
    while True:
        next_item = q.get(True,timeout) # Blocks until an input is available
        q.task_done()                   # (one "task_done" per "get")
        if next_item is job_done:
            break
        yield next_item
        q.get() # Retrieves the "dummy" object (must be after yield)
        q.task_done() # Unblocks the producer, so a new iteration can start