Department of Electric Engineering and Computer Science
Evanston, IL 60208
Phone: (708) 491-5038
|Algorithm||limited-memory BFGS algorithm|
|Modeling Languages link|
|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.