[Help-gsl] Re: BFGS or L-BFGS (Guy Bencteux)

[Doug McKee]

> in the gsl-multimin, the bfgs method is referred to as "vector-bfgs  
> method".
> Is this algorithm the classical BFGS method that needs to store the  
> matrix
> in internal memory or L-BFGS method, also known as Limited Memory  
> BFGS,
> since it does not need to store it ?

Definitely L-BFGS.  For the record, I wouldn't mind if GSL had a  
classic BFGS method since my problem doesn't have very many  
parameters and it's only in cases of lots and lots of parameters that  
L-BFGS really helps you.  Also, I'm pretty sure GSL only saves the  
previous derivatives when approximating the Hessian instead and I  
think the general L-BFGS algorithm can use more than one previous round.

Doug
-------------------
Doug McKee
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http://dmckee.bol.ucla.edu
310-266-2438