On Fri, 2013-12-13 at 14:48 +0100, Yury V. Zaytsev wrote: > > Is there any built-in facility in NLopt for L1-norm regularization > that I've missed? Have anyone got L1-norm regularization to work with > NLopt gradient-based methods before?
After some more googling, I have found that the problem is apparently solved by a modification of the original L-BFGS-b called Orthant-wise limited-memory quasi-Newton (OWL-QN): http://en.wikipedia.org/wiki/Limited-memory_BFGS#OWL-QN As it appears, there is free implementation out there: https://github.com/chokkan/liblbfgs (MIT license) Therefore, I guess I have to re-cast my question as "is that possible to add this feature to the NLopt implementation"? Sadly, this library doesn't seem to support even box contraints, which NLopt can handle with ease... Thanks, -- Sincerely yours, Yury V. Zaytsev _______________________________________________ NLopt-discuss mailing list [email protected] http://ab-initio.mit.edu/cgi-bin/mailman/listinfo/nlopt-discuss
