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Stochastic L-BFGS algorithm implementation #572

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Joshuaalbert opened this issue Jan 24, 2024 · 0 comments
Open

Stochastic L-BFGS algorithm implementation #572

Joshuaalbert opened this issue Jan 24, 2024 · 0 comments

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@Joshuaalbert
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There are several works that introduce L-BFGS for the mini-batch setting.

  1. This one is used in astronomical radio interferometry calibration.
  2. This is similar.
  3. This one from the guys who went on to create Ray/AnyScale.

It would be really useful to have this running in JAXopt. If there are no takers, perhaps I could try my hand at implementing it.
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@Joshuaalbert