Algorithm 778: L-BFGS-B

ACM Transactions on Mathematical Software - Tập 23 Số 4 - Trang 550-560 - 1997
Ciyou Zhu1, Richard H. Byrd2, Peihuang Lu1, Jorge Nocedal1
1Northwestern University, Evanston, IL
2University of Colorado at Boulder, Boulder#TAB#

Tóm tắt

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 predessor, algorithm L-BFGS (Harwell routine VA15). The algorithm is implemented in Fortran 77.

Từ khóa


Tài liệu tham khảo

10.1137/0320018

10.1145/200979.201043

10.1145/66888.69648

10.1145/214392.214395

10.1137/0916069

10.1007/BF01582063

10.1090/S0025-5718-1988-0929544-3

10.1007/978-3-662-12211-2

DENNIS , J. E. AND SCHNABEL , R.B. 1983. Numerical Methods for Unconstrained Optimization and Nonlinear Equations . Prentice-Hall, Inc. , Upper Saddle River, NJ.]] DENNIS, J. E. AND SCHNABEL, R.B. 1983. Numerical Methods for Unconstrained Optimization and Nonlinear Equations. Prentice-Hall, Inc., Upper Saddle River, NJ.]]

10.1007/BF01589113

GILL , P. E. , MURRAY , W. , AND WRIGHT , M.H. 1981. Practical Optimization . Academic Press Ltd ., London, UK.]] GILL, P. E., MURRAY, W., AND WRIGHT, M.H. 1981. Practical Optimization. Academic Press Ltd., London, UK.]]

10.1016/0041-5553(66)90114-5

10.1007/BF01589116

10.1145/192115.192132

10.1007/BF01396045

SIEGEL , D. 1992 . Implementing and modifying Broyden class updates for large scale optimization . Rep. DAMPT 1992/NA12 . Cambridge University, Cambridge, MA.]] SIEGEL, D. 1992. Implementing and modifying Broyden class updates for large scale optimization. Rep. DAMPT 1992/NA12. Cambridge University, Cambridge, MA.]]

Thông tin
Thông tin xuất bản

ACM Transactions on Mathematical Software

Tập 23 Số 4

550-560

Thông tin tác giả