Reputation: 53
I'm solving a large unconstrained optimization problem and experimenting with the trust-kyrlov
/ trust-ncg
methods in scipy.optimize.minimize
. Unfortunately, these methods can be quite slow when my problem is poorly conditioned. To mitigate this, I am hoping to do the following:
(1) Start with a "warmup" phase where I optimize some fixed number of iterations with LBFGS.
(2) Use the LbfgsInvHessProduct
Linear Operator as a pre-conditioner for the trust region method and solve to convergence.
Unfortunately, I do not see a simple way to pass the required preconditioner in step 2 to scipy.optimize.minimize
. Is there any way to do this? Or, is there a simple workaround where I could define a custom method with this capability?
Thanks!
Upvotes: 0
Views: 54