L-BFGS-B

Algorithm 778: L-BFGS-B Fortran subroutines for large-scale bound-constrained optimization. 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 implemened in Fortran 77.


References in zbMATH (referenced in 133 articles )

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  1. Andreani, Roberto; Friedlander, Ana; Santos, Sandra A.: On the resolution of the generalized nonlinear complementarity problem (2001)
  2. Avellaneda, Marco; Buff, Robert; Friedman, Craig; Grandechamp, Nicolas; Kruk, Lukasz; Newman, Joshua: Weighted Monte Carlo: a new technique for calibrating asset-pricing models (2001)
  3. Cochran, W. K.; Plemmons, R. J.; Torgersen, T. C.: Exploiting Toeplitz structure in atmospheric image restoration (2001)
  4. Pralits, J. O.; Airiau, C.; Hanifi, A.; Henningson, D. S.: Sensitivity analysis using adjoint parabolized stability equations for compressible flows (2000)
  5. Trosset, Michael W.: Distance matrix completion by numerical optimization (2000)
  6. Lin, Chih-Jen; Moré, Jorge J.: Newton’s method for large bound-constrained optimization problems (1999)
  7. Lin, Chih-Jen; Fang, Shu-Cherng; Wu, Soon-Yi: An unconstrained convex programming approach to linear semi-infinite programming (1998)
  8. Pytlak, R.: An efficient algorithm for large-scale nonlinear programming problems with simple bounds on the variables (1998)
  9. Avellaneda, Marco; Friedman, Craig; Holmes, Richard; Samperi, Dominick: Calibrating volatility surfaces via relative-entropy minimization (1997)
  10. Ni, Q.; Yuan, Y.: A subspace limited memory quasi-Newton algorithm for large-scale nonlinear bound constrained optimization (1997)
  11. Spellucci, P.: Numerical experiments with modern methods for large scale QP-problems (1997)
  12. Zhu, Ciyou; Byrd, Richard H.; Lu, Peihuang; Nocedal, Jorge: Algorithm 778: L-BFGS-B Fortran subroutines for large-scale bound-constrained optimization (1997)
  13. Zhu, Ciyou; Byrd, Richard H.; Lu, Peihuang; Nocedal, Jorge: Algorithm 778: L-BFGS-B. Fortran subroutines for large-scale bound-constrained optimization. (1997) ioport

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