Stochastic Limited Memory Quasi-Newton Optimizers
adaQN guided optimizer
adaQN Free-Mode Optimizer
Retrieve fitted coefficients from stochastic logistic regression objec...
Get current values of the optimization variables
Get current iteration number from the optimizer object
oLBFGS guided optimizer
oLBFGS Free-Mode Optimizer
Partial fit stochastic model to new data
Update stochastic logistic regression model with new batch of data
Prediction function for stochastic logistic regression
Predict function for stochastic optimizer object
Print summary info about adaQN guided-mode object
Print summary info about adaQN free-mode object
Print summary info about oLBFGS guided-mode object
Print summary info about oLBFGS free-mode object
Print summary info about SQN guided-mode object
Print summary info about SQN free-mode object
Print general info about stochastic logistic regression object
Run adaQN optimizer in free-mode
Run oLBFGS optimizer in free-mode
Run SQN optimizer in free-mode
SQN guided optimizer
SQN Free-Mode Optimizer
Stochastic Logistic Regression
Print general info about stochastic logistic regression object
Update objective function value (adaQN)
Update gradient (oLBFGS, SQN, adaQN)
Update Hessian-vector product (SQN)
Implementations of stochastic, limited-memory quasi-Newton optimizers, similar in spirit to the LBFGS (Limited-memory Broyden-Fletcher-Goldfarb-Shanno) algorithm, for smooth stochastic optimization. Implements the following methods: oLBFGS (online LBFGS) (Schraudolph, N.N., Yu, J. and Guenter, S., 2007 <http://proceedings.mlr.press/v2/schraudolph07a.html>), SQN (stochastic quasi-Newton) (Byrd, R.H., Hansen, S.L., Nocedal, J. and Singer, Y., 2016 <arXiv:1401.7020>), adaQN (adaptive quasi-Newton) (Keskar, N.S., Berahas, A.S., 2016, <arXiv:1511.01169>). Provides functions for easily creating R objects with partial_fit/predict methods from some given objective/gradient/predict functions. Includes an example stochastic logistic regression using these optimizers. Provides header files and registered C routines for using it directly from C/C++.