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mlpack / ensmallen

A header-only C++ library for numerical optimization --
http://ensmallen.org
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Is it possible to add bounded L-BFGS method (L-BFGS-B)? #151

Open halo-rubinius opened 4 years ago

halo-rubinius commented 4 years ago

For the bounded problem, the L-BFGS-B method is a good option, which has not been included in the library yet. while a Fortran version is out there (Fortran code for L-BFGS-B), is there any plan to implement the L-BFGS-B method in this library?

rcurtin commented 4 years ago

Hey @halo-rubinius, this would definitely be something really nice to add! We could implement L-BFGS-B as an optimizer that operates on constrained functions: http://ensmallen.org/docs.html#constrained-functions

I'll leave this issue open in case anyone would like to contribute L-BFGS-B (yourself included! :)) It seems likely that the existing L-BFGS code could be reused or adapted for this purpose.

gaurav-singh1998 commented 4 years ago

Hi, @rcurtin I would like to implement this to get a better understanding of the codebase. Should I move forward with it?