[R] BFGS versus L-BFGS-B

[Prof. John C Nash]

For functions that have a reasonable structure i.e., 1 or at most a few optima, it is
certainly a sensible task. Separable functions are certainly nicer (10K 1D minimizations),
but it is pretty easy to devise functions e.g., generalizations of Rosenbrock, Chebyquad
and other functions that are high dimension but not separable.

Admittedly, there are not a lot of real-world examples that are publicly available. More
would be useful.

JN


On 02/25/2011 05:06 PM, Bert Gunter wrote:
> On Fri, Feb 25, 2011 at 12:00 PM, Brian Tsai <btsai00 at gmail.com> wrote:
>> Hi John,
>>
>> Thanks so much for the informative reply!  I'm currently trying to optimize
>> ~10,000 parameters simultaneously - for some reason,
> 
> -- Some expert (Ravi, John ?) please correct me, but: Is the above not
> complete nonsense? I can't imagine poking around usefully  in 10K
> dimensional space for an extremum unless maybe one can find the
> extremum by 10K separate 1-dim optimizations. And maybe not then
> either.
> 
> Am I way offbase here, or has Brian merely described just another
> inefficient way to produce random numbers?
> 
> -- Bert