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Computes the regularized L-BFGS step by solving the linear system

Include:

  1. new method
  2. unit tests
  3. edit readme to include the name

Before merging, we have run the following:

  1. allocation and benchmark tool ran to make sure no allocation
  2. unit tests with different sizes and accuracy

TODO:

  1. GPU support

Ref:
@misc{erway2013shiftedlbfgssystems,
title={Shifted L-BFGS Systems},
author={Jennifer B. Erway and Vibhor Jain and Roummel F. Marcia},
year={2013},
eprint={1209.5141},
archivePrefix={arXiv},
primaryClass={math.NA},
url={https://arxiv.org/abs/1209.5141},
}

Computes the regularized L-BFGS step by solving the linear system
@farhadrclass farhadrclass requested review from dpo and tmigot September 23, 2024 16:52
farhadrclass and others added 10 commits September 23, 2024 15:11
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
@farhadrclass farhadrclass requested a review from dpo September 25, 2024 16:35
farhadrclass and others added 6 commits September 28, 2024 19:21
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
farhadrclass and others added 15 commits October 4, 2024 09:10
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
Co-authored-by: Dominique <dominique.orban@gmail.com>
@dpo dpo merged commit e33a43d into JuliaSmoothOptimizers:main Oct 8, 2024
17 of 39 checks passed
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dpo commented Oct 8, 2024

Thank you.

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2 participants