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| Optimization by LBFGS http://forum.alglib.net/viewtopic.php?f=2&t=3770 |
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| Author: | mm148881 [ Tue Sep 06, 2016 5:29 pm ] |
| Post subject: | Optimization by LBFGS |
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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| Author: | Sergey.Bochkanov [ Tue Sep 06, 2016 6:28 pm ] |
| Post subject: | Re: Optimization by LBFGS |
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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