google / google/jaxopt

Stochastic L-BFGS algorithm implementation

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Description

There are several works that introduce L-BFGS for the mini-batch setting.

1. [This one is used in astronomical radio interferometry calibration](https://arxiv.org/pdf/1904.05619.pdf).
2. [This is similar](https://ieeexplore.ieee.org/document/8626766).
3. [This one from the guys who went on to create Ray/AnyScale](https://arxiv.org/abs/1508.02087).

It would be really useful to have this running in JAXopt. If there are no takers, perhaps I could try my hand at implementing it.

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