(maxima.info)Introduction to lbfgs

---

Next: Functions and Variables for lbfgs Prev: Top Up: Top

---

Enter node , (file) or (file)node

67.1 Introduction to lbfgs
==========================

'lbfgs' is an implementation of the L-BFGS algorithm [1] to solve
unconstrained minimization problems via a limited-memory quasi-Newton
(BFGS) algorithm.  It is called a limited-memory method because a
low-rank approximation of the Hessian matrix inverse is stored instead
of the entire Hessian inverse.  The program was originally written in
Fortran [2] by Jorge Nocedal, incorporating some functions originally
written by Jorge J. More' and David J. Thuente, and translated into Lisp
automatically via the program 'f2cl'.  The Maxima package 'lbfgs'
comprises the translated code plus an interface function which manages
some details.

   References:

   [1] D. Liu and J. Nocedal.  "On the limited memory BFGS method for
large scale optimization".  Mathematical Programming B 45:503-528 (1989)

   [2] <http://netlib.org/opt/lbfgs_um.shar>