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Add L-BFGS optimiser #1083

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ben18785 opened this issue Mar 31, 2020 · 1 comment
Open

Add L-BFGS optimiser #1083

ben18785 opened this issue Mar 31, 2020 · 1 comment
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@ben18785
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Scipy has it; Stan has it. I think it would be really handy to have it in ask/tell -- I often want to see how close my optimiser's results are over the course of optimisation, for example.

It's a few lines of code to implement this algorithm, so think it should be easy enough to include. Alister is interested and will (once, I get his Github name) assign him tho this.

This is part of #684.

@MichaelClerx
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In anticipation of this, I'm having a quick look at #930 to get the based infrastructure for sensitivity/gradient based optimisers ready.

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