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google / jaxopt

Hardware accelerated, batchable and differentiable optimizers in JAX.
https://jaxopt.github.io
Apache License 2.0
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Stochastic L-BFGS algorithm implementation #572

Open Joshuaalbert opened 5 months ago

Joshuaalbert commented 5 months ago

There are several works that introduce L-BFGS for the mini-batch setting.

  1. This one is used in astronomical radio interferometry calibration.
  2. This is similar.
  3. This one from the guys who went on to create Ray/AnyScale.

It would be really useful to have this running in JAXopt. If there are no takers, perhaps I could try my hand at implementing it.