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Optimize directly in C++ #61

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Tracked by #60
osorensen opened this issue Jan 2, 2023 · 2 comments
Closed
Tracked by #60

Optimize directly in C++ #61

osorensen opened this issue Jan 2, 2023 · 2 comments
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@osorensen osorensen created this issue from a note in Eigen Sparse (To do) Jan 2, 2023
@osorensen osorensen changed the title Use L-BFGS-B directly in C++. Use L-BFGS-B directly in C++ Jan 2, 2023
@osorensen osorensen mentioned this issue Jan 2, 2023
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@osorensen osorensen moved this from To do to In progress in Eigen Sparse Jan 2, 2023
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Actually with the use of OptimLib in this branch we can test out a whole lot of different algorithms.

@osorensen osorensen removed this from In progress in Eigen Sparse Jan 6, 2023
@osorensen osorensen changed the title Use L-BFGS-B directly in C++ Optimize directly in C++ Jan 6, 2023
@osorensen osorensen self-assigned this Jan 6, 2023
@osorensen osorensen moved this from Done to In Progress in API and Optimization Jan 6, 2023
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Having tried out OptimLib for a while, it seems very unstable compare to R's stats::optim. In addition, it requires Eigen 3.4.0 which is not supported by RcppEigen yet, so I stay with stats::optim.

@osorensen osorensen moved this from In Progress to Done in API and Optimization Aug 24, 2023
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