Re: [Help-gsl] Comments/questions about BFGS algorithm implemented for the GSL

[Martin Jansche]

> I suspect there is a substantial inefficiency problem with the GSL line-
> search implementation (since the BFGS update part is completely
> straightforward).  I am not any sort of expert in this field though so I
> cannot pin down where the problem is occurring, but a superficial google
> search reveals a number of complaints about the GSL minimization efficiency.

I don't fully understand the line search code that's called by the
multidimensional minimizers, but it looks like it's not using the
information from the derivative. I hope I'm wrong about this, though.

Meanwhile, you could look into other free optimizers, including the
optimization code in the R project (http://www.r-project.org/, which
supposedly uses L-BFGS-B as well) or the TAO toolkit
(http://www-unix.mcs.anl.gov/tao/).

-- mj