The galaxy luminosity function (LF) has been estimated in the rest-frame B luminosity at 0 < z < 1.25 and at 1700 Å for 2.5 < z < 4.5 from deep multicolor surveys in the Hubble Deep Field-North, the Hubble Deep Field-South, and the New Technology Telescope Deep Field. The results have been compared with a recent version of galaxy formation models in the framework of hierarchical clustering in a flat cold dark matter universe with cosmological constant. The results show a general agreement for z 1, although the model LF has a steeper average slope at the faint end; at z ~ 3 such a feature results in an overprediction of the number of faint (IAB ~ 27) galaxies, while the agreement at the bright end becomes critically sensitive to the details of dust absorption at such redshifts. The discrepancies at the faint end show that a refined treatment of the physical processes involving smaller galaxies is to be pursued in the models, in terms of aggregation processes and/or stellar feedback heavily affecting the luminosity of the low-luminosity objects. The implications of our results on the evolution of the cosmological star formation rate are discussed.