Algorithm 778: L-BFGS-B

作者：Ciyou Zhu, Richard H. Byrd, Peihuang Lu, Jorge Nocedal · 发表于：ACM Transactions on Mathematical Software · 年份：1997 · DOI：10.1145/279232.279236 · 被引用次数：3519 · 研究领域：Advanced Optimization Algorithms Research、Matrix Theory and Algorithms、Numerical Methods and Algorithms

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.