L-BFGS - Githubissues

to266 / optimize

Rust crate for numerical optimization

Apache License 2.0

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Closed sebasv closed 5 years ago

sebasv commented 5 years ago

Implements a limited-memory BFGS variant. First step towards an L-BFGS-B routine. #2

TODO

[x] max feval condition
[x] max geval condition
[x] documentation
[x] convenience method that uses finite difference approximation for the gradient

sebasv commented 5 years ago

Ready for review. Currently uses the golden ratio line search to determine step size, we could consider a trust region as well.