CompactQuasiNewtonDirective.IterationsToRemember Property

Solver Foundation 3.0

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Gets or sets the number of previous iterations to record for an estimate of Hessian (m).

Namespace:  Microsoft.SolverFoundation.Services
Assembly:  Microsoft.Solver.Foundation (in Microsoft.Solver.Foundation.dll)

public virtual int IterationsToRemember { get; set; }

Property Value

Type: System.Int32
The number of previous iterations to remember. The default is 17.

Higher values provide better approximations of Newton's method, but they use more memory and require more time to compute direction.

The optimal setting of IterationsToRemember is problem specific, and depends on such factors such as the performance cost of function evaluation compared to choosing the direction, how easy it is to approximate the function's Hessian, and others. A range of 15 to 20 is usually reasonable, but if necessary even a value of 2 is better than gradient descent.