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 Post subject: Optimization by LBFGS
PostPosted: Tue Sep 06, 2016 5:29 pm 
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Joined: Tue Aug 30, 2016 7:40 am
Posts: 3
Hi,
I would like to minimize some function which depends on a very large number of variables (1 to 8 millions is the typical number) using the LBFGS method. I am wondering how to estimate the total memory occupation for the alglib library. With the original fortran code, which I used many years ago, I remember that the total memory occupation given N, the number of variables, was typically 8-10 times N. Is this the case also for minlbfgsoptimize and related routines?
Sincerely
Max


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 Post subject: Re: Optimization by LBFGS
PostPosted: Tue Sep 06, 2016 6:28 pm 
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Joined: Fri May 07, 2010 7:06 am
Posts: 903
For L-BFGS, memory occupation is very roughly ~N*M*2 double precision numbers. Here N is number of variables, M is number of L-BFGS updates stored by optimizer (both parameters are specified during optimizer creation).


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