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Optimization algorithms #18

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osorensen opened this issue Jun 1, 2022 · 1 comment
Closed
Tracked by #12

Optimization algorithms #18

osorensen opened this issue Jun 1, 2022 · 1 comment
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Eigen Sparse
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Maximize loglikel...

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Experimentation with full Newton methods with linear mixed models suggests that this requires quite good initial values for the parameters. Should consider different algorithms, perhaps something in this library.
@osorensen osorensen self-assigned this Jun 1, 2022
@osorensen osorensen mentioned this issue Jun 1, 2022
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@osorensen osorensen added this to the Maximize loglikelihood milestone Jul 13, 2022
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L-BFGS-B seems to be the best option, since second-order dual numbers scale relatively poorly, and we need box constraints.

@osorensen osorensen added this to Done in Eigen Sparse Jan 2, 2023
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