Preconditioner

[Adwait-Naravane]

Hi, would it be possible to have the precondition function to be an argument in the OptimizationAlgorithm struct such that one can enter a custom preconditioner function in say LBFGS without opening up all the functions?

[Jutho]

Passing arguments to some computational algorithm down a call chain is always annoying. I agree that the current interface of OptimKit is far from optimal in that respect, and I have been reconsidering changing it, though it is with low priority at the end of my todo list for now, in part also because I was myself struggling with what the best interface should be.

For this specific suggestion, I do think it is a bit strange to have the preconditoner as part of the LBFGS structure, as this is very much a problem specific thing (unlike the other LBFG fields), that seems like it should be defined at the same level as where the cost function and the other operations (such as retraction and transport) are defined.

Maybe @lkdevos has good suggestions for a better interface or a better approach of tackling this.