scipy.optimize.fmin_l_bfgs_b returns 'ABNORMAL_TERMINATION_IN_LNSRCH'

Question

I am using scipy.optimize.fmin_l_bfgs_b to solve a gaussian mixture problem. The means of mixture distributions are modeled by regressions whose weights have to be optimized

Answer 1

As pointed out in the answer by Wilmer E. Henao, the problem is probably in the gradient. Since you are using approx_grad=True, the gradient is calculated numerically. In this case, reducing the value of epsilon, which is the step size used for numerically calculating the gradient, can help.