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SciML / OptimizationBase.jl

The base package for Optimization.jl, containing the structs and basic functions for it.
MIT License
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Add stochastic oracles #61

Open Vaibhavdixit02 opened 2 weeks ago

Vaibhavdixit02 commented 2 weeks ago

Right now Optimization.jl handles batching by a crude method. This amounts to asking users to pass in data arg to solve. This is expected to be an iterator, and more specifically a DataLoader https://fluxml.ai/Flux.jl/dev/reference/data/mlutils/#DataLoader. But, stochastic oracles are quite a fundamental part of modern optimization algorithms including recent work on second order and quasi-newton stochastic algs hence it would be more natural to have stochastic oracles which can be used directly by downstream algorithm implementations

ChrisRackauckas commented 2 weeks ago

Definitely agreed here, we can't really do a stochastic BFGS in the current form and that would be quite a useful method.

Vaibhavdixit02 commented 2 weeks ago

Yup there's a stochastic newton etc as well 😅