L-BFGS-B - Fortran Subroutines for Large-Scale Bound Constrained Optimization (1994)
| Venue: | ACM Trans. Math. Software |
| Citations: | 28 - 2 self |
BibTeX
@TECHREPORT{Zhu94l-bfgs-b-,
author = {Ciyou Zhu and Richard H. Byrd and Peihuang Lu and Jorge Nocedal},
title = {L-BFGS-B - Fortran Subroutines for Large-Scale Bound Constrained Optimization},
institution = {ACM Trans. Math. Software},
year = {1994}
}
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Abstract
L-BFGS-B is a limited memory algorithm for solving large nonlinear optimization problems subject to simple bounds on the variables. It is intended for problems in which information on the Hessian matrix is difficult to obtain, or for large dense problems. L-BFGS-B can also be used for unconstrained problems, and in this case performs similarly to its predecessor, algorithm L-BFGS (Harwell routine VA15). The algorithm is implemented in Fortran 77. Categories and Subject Descriptors: G.1.6 [Numerical Analysis]: Optimization -- gradient methods; G.4 [Mathematics of Computing]: Mathematical Software. General Terms: Algorithms Additional Key Words and Phrases: variable metric method, large scale optimization, nonlinear optimization, limited memory method. 1 Department of Electrical Engineering and Computer Science, Northwestern University, Evanston Il 60208. These authors were supported by National Science Foundation Grants CCR-9101359 and ASC-9213149, and by Department of Energy Grant DE-...
