GithubHelp home page GithubHelp logo

rnewt's Introduction

Minimization for ill-conditioned problems

Regularized quasi-Newton optimisation

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.

References

Kanzow, C., & Steck, D. (2023). Regularization of limited memory quasi-Newton methods for large-scale nonconvex minimization. Mathematical Programming Computation, 15(3), 417-444.

Sugimoto, S., & Yamashita, N. (2014). A regularized limited-memory BFGS method for unconstrained minimization problems. inf. téc.

rnewt's People

Contributors

bertvanderveen avatar

Stargazers

John Best avatar

Watchers

 avatar

rnewt's Issues

TODO

  1. Consider adjusted initial matrix in limited memory updates
  2. Research methods for determining the ideal initial value of the regularisation parameter
  3. Keep an eye out for better implementation/research on full-memory regularized quasi-newton optimisation (mine is crap)
  4. Update in a more efficient manner; now I am just recomputing all results for the approximate hessian on each pass
  5. Line search needs exceptions for when objective evaluates to NaN
  6. Cholesky factor parameterization for LBFGS as in Kanzow and Steck
  7. LPSB and LSR1 should use cautious updating only for gamma
  8. Methodology for getting out consecutive "no improvement" iterations (currently with max.reject)

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo 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.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google ❤️ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.