Currently the only function, rnewt
implements general-purpose regularized quasi-Newton optimisation routines as presented in Kanzow and Steck (2023). The C++ code is written from scratch, and the More-Thuente linesearch script is an R-port specifically written for this implementation, but translated from the python implementation associated to the article.
rnewt's Introduction
rnewt's People
rnewt's Issues
TODO
- Consider adjusted initial matrix in limited memory updates
- Research methods for determining the ideal initial value of the regularisation parameter
- Keep an eye out for better implementation/research on full-memory regularized quasi-newton optimisation (mine is crap)
- Update in a more efficient manner; now I am just recomputing all results for the approximate hessian on each pass
- Line search needs exceptions for when objective evaluates to NaN
- Cholesky factor parameterization for LBFGS as in Kanzow and Steck
- LPSB and LSR1 should use cautious updating only for gamma
- Methodology for getting out consecutive "no improvement" iterations (currently with max.reject)
Recommend Projects
-
React
A declarative, efficient, and flexible JavaScript library for building user interfaces.
-
Vue.js
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
-
Typescript
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
-
TensorFlow
An Open Source Machine Learning Framework for Everyone
-
Django
The Web framework for perfectionists with deadlines.
-
Laravel
A PHP framework for web artisans
-
D3
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
-
Recommend Topics
-
javascript
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
-
web
Some thing interesting about web. New door for the world.
-
server
A server is a program made to process requests and deliver data to clients.
-
Machine learning
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
-
Visualization
Some thing interesting about visualization, use data art
-
Game
Some thing interesting about game, make everyone happy.
Recommend Org
-
Facebook
We are working to build community through open source technology. NB: members must have two-factor auth.
-
Microsoft
Open source projects and samples from Microsoft.
-
Google
Google ❤️ Open Source for everyone.
-
Alibaba
Alibaba Open Source for everyone
-
D3
Data-Driven Documents codes.
-
Tencent
China tencent open source team.