Alan W. Irwin writes: > But why does it take so long (119 iterations) to get to the final rapid > convergence phase (both for the GSL C version and my fortran implementation > of the same algorithm)? In Fletcher's book, "Practical Methods of > Optimization", 2nd edition, the problem only requires 21 iterations to > converge (see Table 3.5.1) with Fletcher's own BFGS code. Although, my > experients showed the L-BFGS-B implementation is fundamentally non-robust, > for this test function it seems to be okay, and it converges in 39 > iterations confirming there is something wrong with the efficiency of the > preliminary convergence steps in the GSL case. > > 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.
Thanks for your thoughtful comments. I agree that the line minimisation is a likely suspect and has room for improvement. What line minimisation method is used by Fletcher and what criteria for stopping each line minimisation? (I don't have the book but I will see about getting it). -- Brian Gough Network Theory Ltd, Publishing the GSL Manual - http://www.network-theory.co.uk/gsl/manual/ _______________________________________________ Help-gsl mailing list [email protected] http://lists.gnu.org/mailman/listinfo/help-gsl
