LBFGS
| Author | Jorge Nocedal
Northwestern University Department of Electric Engineering and Computer Science Evanston, IL 60208 Phone: (708) 491-5038 E-mail: nocedal@ece.nwu.edu |

Language | FORTRAN | |

Algorithm | limited-memory BFGS algorithm | |

Input Format | ||

Modeling Languages link | ||

Commercial Status | free | |

Platform | Any machine with a reasonable amount of memory and a Fortran compiler | |

Remarks | It is intended for problems with many variables. In this method quasi-Newton corrections are stored in vector form; when the available storage is used up, the oldest correction is deleted to make space for a new one. The user specifies the number m of BFGS corrections that should be stored. LBFGS requires 2m(n+1)+4n storage locations.
The steplength is determined at each iteration by a line-search routine (supplied by J. Moré and D. Thuente) that enforces a sufficient decrease condition and a curvature condition. | |

References | Recent Publications |