L-BFGS

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L-BFGS and L-BFGS-B are a limited-memory quasi-Newton packages for large scale optimization, for Unix or Linux. The codes have been developed at the Optimization Technology Center, a joint venture of Argonne National Laboratory and Northwestern University. They were authored by Jorge Nocedal, Ciyou Zhu and Richard Byrd.

L-BFGS is a code for solving unconstrained problems.

L-BFGS-B is capable of solving problems with simple bounds on the variables. The current release is version 2.1. The distribution file was last changed on 02/09/1997.

It is freely available for educational or commercial purposes. The authors expect that all publications describing work using this software quote at least one of the references given in each code.

[edit] References

• J. Nocedal. Updating Quasi-Newton Matrices with Limited Storage (1980), Mathematics of Computation 35, pp. 773-782.
• D. C. Liu and J. Nocedal. On the Limited Memory Method for Large Scale Optimization (1989), Mathematical Programming B, 45, 3, pp. 503-528.
• R. H. Byrd, P. Lu and J. Nocedal. A Limited Memory Algorithm for Bound Constrained Optimization (1995), SIAM Journal on Scientific and Statistical Computing, 16, 5, pp. 1190-1208.
• C. Zhu, R. H. Byrd and J. Nocedal. L-BFGS-B: Algorithm 778: L-BFGS-B, FORTRAN routines for large scale bound constrained optimization (1997), ACM Transactions on Mathematical Software, Vol 23, Num. 4, pp. 550-560.

[edit] External links

• Jorge Nocedal
• Richard Byrd
• [1]; The full L-BFGS Unix/Linux distribution (containing source code, makefile and user guide)
• [2]; The full L-BFGS-B Unix/Linux distribution (containing source code, makefile and user guide)