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Given an adequate threshold , the Huber problem may be solved using a quasi-Newton solver.
The Limited memory BFGS method, a quasi-Newton update, has interesting storage properties that lead
to efficient convergence to the local minimum of any convex function. In this paper, I proposed an
algorithm to solve the Huber problem using the L-BFGS solver and a MoreThuente line search.
This algorithm is then supposed to give a *R-linear* convergence to the desired solution.

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Stanford Exploration Project

4/27/2000