Minimization for
ill-conditioned problems
Regularized quasi-Newton
optimisation
Currently the only function, rnewt
implements
general-purpose regularized quasi-Newton optimisation routines as
presented in Kanzow
and Steck (2023). The C++ code is written from scratch, and the
More-Thuente linesearch script is an R-port specifically written for
this implementation, but translated from the
python implementation associated to the article.
References
Kanzow,
C., & Steck, D. (2023). Regularization of limited memory
quasi-Newton methods for large-scale nonconvex minimization.
Mathematical Programming Computation, 15(3), 417-444.
Sugimoto,
S., & Yamashita, N. (2014). A regularized limited-memory BFGS method
for unconstrained minimization problems. inf. téc.