How to set minlbfgssetprecdiag properly
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Author:  JinHuang [ Mon Aug 29, 2011 11:05 am ]
Post subject:  How to set minlbfgssetprecdiag properly

Dear all,

I can estimate the diag of Hessian, and want use it as the preconditioner. The manual says that the preconditioner can be changed "on the fly", so I estimate it after each iteration (in the report call back function), and use minlbfgssetprecdiag to set it. But I find that only the first iteration use the preconditioner, and the others ignore it, and finally leads to poorer converence than the default preconditioner.

I want to know what is the default preconditioner, how to use the diag of H as the preconditioner on the fly properly.

Thank you in advance!



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