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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. Moré
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)
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