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L-BFGS optimisation maxits
http://forum.alglib.net/viewtopic.php?f=2&t=536		 Page 1 of 1
Author:  AlglibUser [ Sat Feb 11, 2012 7:35 am ]
Post subject:  L-BFGS optimisation maxits
Hi,

I'm using the L-BFGS optimiser as follows:

Code:
double epsg = 0.01;
double epsf = 0.01;
double epsx = 0.01;
double diffstep = 1.0e-5;
int maxits = 10;
alglib.minlbfgsstate state;
alglib.minlbfgsreport rep;

alglib.minlbfgscreatef(1, x, diffstep, out state);
alglib.minlbfgssetcond(state, epsg, epsf, epsx, maxits);
alglib.minlbfgssetprecscale(state);
alglib.minlbfgssetstpmax(state, 1.0);
alglib.minlbfgsoptimize(state, func, null, null);
alglib.minlbfgsresults(state, out x, out rep);


I would like to stop the optimisation after a given number of iterations, but passing different values of 'maxits' to the minlbfgs state using minlbfgssetcond() seems to have no effect. Any suggestions on how to limit the number of iterations would be appreciated.

Thanks

Ernest
Author:  Sergey.Bochkanov [ Sun Feb 12, 2012 11:35 am ]
Post subject:  Re: L-BFGS optimisation maxits
Iterations stop after meeting at least one stopping criteria. If you want optimizer to stop after 10 iterations, you should turn off other criteria (epsg=epsf=epsx=0)
Author:  z_shaheer [ Fri Mar 02, 2012 4:37 pm ]
Post subject:  Re: L-BFGS optimisation maxits
I've set my epsg=epsf=epsx = 0 and my maxits = 5. However, I'l still having 21 iterations each time I run the routine, regardless of the model I use.

Any help would be appreciated.

Mo
Author:  Sergey.Bochkanov [ Sat Mar 03, 2012 11:07 am ]
Post subject:  Re: L-BFGS optimisation maxits
Are you sure that you have 21 iterations, not function evaluations? One iteration may need several function evaluations. From 1 per iteration to 20 per iteration. 4 evaluations per iteration seems to be reasonable amount.
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