Algorithm 778: L-BFGS-B: Fortran Subroutines for Large-Scale Bound-Constrained Optimization

Ciyou Zhu; Richard H. Byrd; Peihuang Lu; Jorge Nocedal

doi:10.1145/279232.279236

Algorithm 778: L-BFGS-B: Fortran Subroutines for Large-Scale Bound-Constrained Optimization

Ciyou Zhu^*, Richard H. Byrd, Peihuang Lu, Jorge Nocedal

^*Corresponding author for this work

Industrial Engineering and Management Sciences

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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.

Original language	English (US)
Pages (from-to)	550-560
Number of pages	11
Journal	ACM Transactions on Mathematical Software
Volume	23
Issue number	4
DOIs	https://doi.org/10.1145/279232.279236
State	Published - Dec 1997

Keywords

Algorithms
D.3.2 [Programming Languages]: Language Classifications - Fortran 77
G.1.6 [Numerical Analysis]: Optimization - Gradient methods
G.4 [Mathematics of Computing]: Mathematical Software
Large-scale optimization
Limited-memory method

ASJC Scopus subject areas

Software
Applied Mathematics

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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.",

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AU - Nocedal, Jorge

PY - 1997/12

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AB - 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.

KW - Algorithms

KW - D.3.2 [Programming Languages]: Language Classifications - Fortran 77

KW - G.1.6 [Numerical Analysis]: Optimization - Gradient methods

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KW - Large-scale optimization

KW - Limited-memory method

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Algorithm 778: L-BFGS-B: Fortran Subroutines for Large-Scale Bound-Constrained Optimization

Abstract

Keywords

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