[Scipy-tickets] [SciPy] #734: errors in fmin_bfgs and some improvements

SciPy Trac scipy-tickets@scipy....
Sat May 19 17:57:03 CDT 2012


#734: errors in fmin_bfgs and some improvements
----------------------------+-----------------------------------------------
 Reporter:  jgarcke         |       Owner:  cdavid      
     Type:  defect          |      Status:  needs_review
 Priority:  normal          |   Milestone:  Unscheduled 
Component:  scipy.optimize  |     Version:  0.5.2       
 Keywords:                  |  
----------------------------+-----------------------------------------------

Comment(by pv):

 According to Wright & Nocedal (p. 201), skipping the update is not so
 good, and a better alternative is to use a damped BFGS update (p. 538).
 They don't give a direct formula for the update for H, so one needs a
 think a little bit here first.

 The `xtol` part of the patch seems OK to me.

-- 
Ticket URL: <http://projects.scipy.org/scipy/ticket/734#comment:12>
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