Brian Tsai <btsai00 <at> gmail.com> writes: > > Hi all, > > I'm trying to figure out the effective differences between BFGS and L-BFGS-B > are, besides the obvious that L-BFGS-B should be using a lot less memory, > and the user can provide box constraints. > > 1) Why would you ever want to use BFGS, if L-BFGS-B does the same thing but > use less memory?
L-BFGS-B is a bit more finicky: for example, it does not allow non-finite (infinite or NA) return values from the objective function, while BFGS does (although neither does during the initial function evaluation). I don't know offhand of other differences, although speed may differ. > 2) If i'm optimizing with respect to a variable x that must be non-negative, > a common approach is to do a change of variables x = exp(y), and optimize > unconstrained with respect to y. Is optimization using box constraints on > x, likely to produce as good a result as unconstrained optimization on y? It depends. If the optimal solution is on the boundary (i.e. x=0) then optimization on the transformed variable (I think you mean y=exp(x) above?) will work very badly. On the other hand, if the solution is in the interior then transforming sometimes works even better -- for example, the goodness-of-fit surface may be closer to quadratic (which sometimes has advantages in terms of inference) with the transformed than the untransformed parameter. Ben Bolker ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
