Computer Science Department
University of Colorado at Boulder
Phone: 303-492-8014, Fax: 303-492-2844
Department of Electric Engineering and Computer Science
Evanston, IL 60208
Phone: (708) 491-5038
|Algorithm||BFGS with limited memory|
|Modeling Languages link|
|Platform||Any machine with a reasonable amount of memory and a Fortran compiler|
|Remarks||It is intended for problems with many variablesand simple bounds on 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.
Numerical results comparing L-BFGS and MINOS can be found here
|References||C. Zhu, R.H. Byrd, P.Lu, J. Nocedal, L-BFGS-B: a limited memory FORTRAN code for solving bound constrained optimization problems. Technical Report, EECS Department, Northwestern University, 1994.
R.H.Byrd, P.Lu, J. Nocedal, C.Zhu, A limited memory algorithm for bound constrained optimization, SIAM J. Scientific Computing, vol.16, 1995, no.5.