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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.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.