scalanlp / breeze

Breeze is/was a numerical processing library for Scala.
https://www.scalanlp.org
Apache License 2.0
3.45k stars 692 forks source link

L-BFGS-B is stuck #752

Open YazidJanati opened 5 years ago

YazidJanati commented 5 years ago

Hi, I'm trying to use L-BFGS-B a constrained optimization problem (for the maximization of an acquisition function in the context of bayesian optimization), but the algorithm gets stuck while trying to find the optimum of a function that is typically flat quite often and with modes in between. Do you have any idea why the algorithm won't work? In contrast, L-BFGS solves the optimization problem but it is often outside the bounds required, so i need to use L-BFGS-B. Thank you for your help.

dlwh commented 5 years ago

There's something buggy in the implementation. I haven't had a chance to fully understand it, and the maintainer of that class hasn't been responsive