Unconstrained Optimization Packages

LBFGSB Authors Ciyou Zhu,
Richard Byrd,
Computer Science Department
University of Colorado at Boulder
Phone: 303-492-8014, Fax: 303-492-2844
Email: richard@cs.colorado.edu
Jorge Nocedal
Northwestern University
Department of Electric Engineering and Computer Science
Evanston, IL 60208
Phone: (708) 491-5038
E-mail: nocedal@eecs.nwu.edu
Language FORTRAN
Algorithm BFGS with limited memory
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 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.
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