visual studio 2010 - Fast gradient-descent implementation in a C++ library?

Question

I'm looking to run a gradient descent optimization to minimize the cost of an instantiation of variables. My program is very computationally expensive, so I'm looking for a popular library with a fast implementation of GD. What is the recommended library/reference?

Answer 1

GSL is a great (and free) library that already implements common functions of mathematical and scientific interest.

You can peruse through the entire reference manual online. Poking around, this starts to look interesting, but I think we'd need to know more about the problem.