BFGS_std: BFGS standard

In outerbase: Outer Product Regression

BFGS standard

Description

Do generic minimization of a function funcw that takes a list parlist using the "Broyden-Fletcher-Goldfarb-Shanno" (BFGS) algorithm. Useful for hyperparameter optimization because it handles infinite returns fairly easily.

Usage

BFGS_std(funcw, parlist, B = NULL, lr = 0.1, ..., verbose = 0)

Arguments

funcw	An object to optimize
parlist	An initial point as a list
B	An initial Hessian to start from
lr	An initial learning rate to start from
...	additional parameters passed to funcw
verbose	an integer from 0-3 where larger prints more information

Value

a list of information from optimization, with the value stored in parlist

outerbase documentation built on June 9, 2022, 5:08 p.m.