Github user dbtsai commented on a diff in the pull request:
https://github.com/apache/spark/pull/702#discussion_r12499273
--- Diff: docs/mllib-optimization.md ---
@@ -128,10 +128,24 @@ is sampled, i.e. `$|S|=$ miniBatchFraction $\cdot n =
1$`, then the algorithm is
standard SGD. In that case, the step direction depends from the uniformly
random sampling of the
point.
+### Limited-memory BFGS
+[Limited-memory BFGS
(L-BFGS)](http://en.wikipedia.org/wiki/Limited-memory_BFGS) is an optimization
+algorithm in the family of quasi-Newton methods to solve the optimization
problems of the form
+`$\min_{\wv \in\R^d} \; f(\wv)$`. The L-BFGS approximates the objective
function locally as a quadratic
+without evaluating the second partial derivatives of the objective
function to construct the
+Hessian matrix. The Hessian matrix is approximated by previous gradient
evaluations, so there is no
+vertical scalability issue (the number of training features) when
computing the Hessian matrix
+explicitly in Newton method. As a result, L-BFGS often achieves rapider
convergence compared with
+other first-order optimization.
+Since the Hessian is constructed approximately from previous gradient
evaluations, the objective
+function can not be changed during the optimization process. As a result,
Stochastic L-BFGS will
+not work naively by just using miniBatch; therefore, we don't provide this
until we have better
+understanding.
--- End diff --
I decided to move those message to the code.
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