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| How to set minlbfgssetprecdiag properly http://forum.alglib.net/viewtopic.php?f=2&t=423 |
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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! Best, Jin |
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