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[Help-gsl] Re: BFGS or L-BFGS (Guy Bencteux)

From: Doug McKee
Subject: [Help-gsl] Re: BFGS or L-BFGS (Guy Bencteux)
Date: Fri, 7 Apr 2006 10:17:33 -0700

in the gsl-multimin, the bfgs method is referred to as "vector-bfgs method". Is this algorithm the classical BFGS method that needs to store the matrix in internal memory or L-BFGS method, also known as Limited Memory BFGS,
since it does not need to store it ?

Definitely L-BFGS. For the record, I wouldn't mind if GSL had a classic BFGS method since my problem doesn't have very many parameters and it's only in cases of lots and lots of parameters that L-BFGS really helps you. Also, I'm pretty sure GSL only saves the previous derivatives when approximating the Hessian instead and I think the general L-BFGS algorithm can use more than one previous round.

Doug McKee

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