**Observations**

- When providing an analytical gradient for optimization using LBFGS with boxed constraints, the optimizer fails occasionally due to gradient becoming
`NaN`

, i.e.`g(x) = [Nan, ..., Nan]`

. - The analytical gradient I provide never returns
`NaN`

. - When using BFGS no issue is found
- Without an analytical gradient, i.e. letting the optimizer estimate the gradient numerically, no issue is found

**Setup of optimizer**

- Objective function is strictly positive
`f > 0`

- Linesearch algorithm: BackTracking order 2 and 3

**Code backbone**

```
### Limits, seed and objective function
upper_limit = b*ones(number_parameters) #b >>1
lower_limit = d*ones(number_parameters) #b >> d >0
x0 = c*ones(number_parameters) #b >> c > d > 0
f = sum((elements_of_a_matrix_A)^2) #A is a function of x
### Gradient
function analytical_gradient(x,i)
#some code using adjoint methods to calculate a gradient of a matrix A which is function of x
return gradient_at_diagonal_element_i_of_A# ie. \nabla A[i,i]
end
function g!(G, x)
for i=1:length(x)
G[i] = analytical_gradient(x,i)
isnan(G[i]) == true && println("Somehow the gradient became NaN")
end
end
### Callback
xs = []; gs = [];
cb = tr -> begin
push!(xs, tr[end].metadata["x"])
push!(gs, tr[end].metadata["g(x)"])
false
end
solution = Optim.optimize(f, g!, lower_limit, upper_limit, x0, Fminbox(LBFGS(linesearch=BackTracking())), Optim.Options(store_trace=true, extended_trace=true, callback=cb))
```

Through the callback I can observe that my gradient becomes `NaN`

at some point of the optimization, while `g!`

returns always a finite number.

Finally, I am running Julia 1.5.2 and

```
pkg> st --manifest Optim LineSearches
Status `~/.julia/environments/v1.5/Manifest.toml`
[d3d80556] LineSearches v7.1.1
[429524aa] Optim v1.2.0
```

I wonder if the issue arises during the approximation of the Hessian of the objective function. However, I have not found how to extract from the trace this Hessian to further debug.

Fortunately, for my problem BFGS is equally fine as I am working with ~ 50 parameters. But it is still puzzling why LBFGS fails.

Cheers,

Juan