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Thread Subject:
BFGS VS LBFGS

Subject: BFGS VS LBFGS

From: lesodk Zokla

Date: 10 Nov, 2010 01:53:04

Message: 1 of 2

Hi. I have some experience i would like to have comments on.
I'm solving some optimization problems using BFGS and LBFGS. Sometime, even with low memory, the LBFGS method uses fewer iterations than BFGS. Can somebody give me an explanation for that?

Kind regards,

Subject: BFGS VS LBFGS

From: Bruno Luong

Date: 10 Nov, 2010 07:38:03

Message: 2 of 2

"lesodk Zokla" <lesodk@gmail.com> wrote in message <ibctu0$6sv$1@fred.mathworks.com>...
> Hi. I have some experience i would like to have comments on.
> I'm solving some optimization problems using BFGS and LBFGS. Sometime, even with low memory, the LBFGS method uses fewer iterations than BFGS. Can somebody give me an explanation for that?

Non linearity! The cost function is non-linear or nasty enough so that the LBFGS formula approximate better the (local) Hessian than the long-memory BFGS.

Bruno

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