bugGNU Scientific Library - Bugs: bug #45099, wrong formula for BFGS update in...


You are not allowed to post comments on this tracker with your current authentication level.

bug #45099: wrong formula for BFGS update in gsl_multimin?

Submitted by:  Patrick Alken <psa>
Submitted on:  Wed 13 May 2015 03:03:13 PM UTC  
Category: NoneSeverity: 3 - Normal
Operating System: Status: None
Assigned to: NoneOpen/Closed: Open

Wed 13 May 2015 03:03:13 PM UTC, original submission:

From Clayton =dot= Davis =at= nrl =dot= navy =dot= mil

There was another email sent to this list two years ago by Martin: http://lists.gnu.org/archive/html/bug-gsl/2013-04/msg00002.html. In his email, he raised a concern about the BFGS multimin implementations (both gsl_multimin_fdfminimizer_vector_bfgs and gsl_multimin_fdfminimizer_vector_bfgs2); I would like to second the concern.

Essentially, the concern boils down to this: BFGS search is supposed to build an approximation of the hessian of the function over successive iterations. In any implementation I'm aware of, that approximate hessian should be stored explicitly. In GSL's implementations, however, it is nowhere to be found; Martin suspected two years ago, and I agree, that the hessian seems to be treated as an identity matrix with no updates. If that is true, it would be a serious implementation flaw in these functions.

Does anyone have any insight into this?



Patrick Alken <psa>
Project Administrator


No files currently attached


Depends on the following items: None found

Items that depend on this one: None found


Carbon-Copy List
  • -unavailable- added by psa (Submitted the item)

    Please enter the title of George Orwell's famous dystopian book (it's a date):



    No Changes Have Been Made to This Item

    Back to the top

    Powered by Savane 3.1-cleanup1