[Gretl-devel] limited memory bfgs

Sven Schreiber svetosch at gmx.net
Sun Apr 3 10:20:02 EDT 2016

Am 03.04.2016 um 12:29 schrieb oleg_komashko at ukr.net:
> Dear all,
> The User's Guide, 31.1, says
> Limited-memory variant
> See Byrd et al. (1995) (. . . FIXME: expand a little here . . . )
> Is it not implemented yet, or just not described?
> If the latter is true, how to use it?

I don't know any details, but see the 'set' command with these options:

  lbfgs: on or off (the default). Use the limited-memory version of BFGS 
(L-BFGS-B) instead of the ordinary algorithm. This may be advantageous 
when the function to be maximized is not globally concave.

• lbfgs_mem: an integer value in the range 3 to 20 (with a default value 
of 8). This determines the number of corrections used in the limited 
memory matrix when L-BFGS-B is employed.

-- I guess there could be a cross-link from the bfgs() function doc to 
these 'set' options.


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