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solve_shifted_system! method for LBFGS solving step in recursive way #338

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merged 34 commits into from
Oct 8, 2024

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Computes the regularized L-BFGS step by solving the linear system

Include:

  1. new method
  2. unit tests
  3. edit readme to include the name

Before merging, we have run the following:

  1. allocation and benchmark tool ran to make sure no allocation
  2. unit tests with different sizes and accuracy

TODO:

  1. GPU support

Ref:
@misc{erway2013shiftedlbfgssystems,
title={Shifted L-BFGS Systems},
author={Jennifer B. Erway and Vibhor Jain and Roummel F. Marcia},
year={2013},
eprint={1209.5141},
archivePrefix={arXiv},
primaryClass={math.NA},
url={https://arxiv.org/abs/1209.5141},
}

Computes the regularized L-BFGS step by solving the linear system
@farhadrclass farhadrclass requested review from dpo and tmigot September 23, 2024 16:52
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@farhadrclass farhadrclass requested a review from dpo September 25, 2024 16:35
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@dpo dpo merged commit e33a43d into JuliaSmoothOptimizers:main Oct 8, 2024
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@dpo
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dpo commented Oct 8, 2024

Thank you.

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2 participants