L-BFGS-B


Software for Large-scale Bound-constrained Optimization

L-BFGS-B is a limited-memory quasi-Newton code for bound-constrained optimization, i.e. for problems where the only constraints are of the form l<= x <= u. The current release is version 3.0. The distribution file was last changed on 02/08/11.

(If you have an optimization problem with general constraints, try KNITRO® )

Downloading and Installing L-BFGS-B

Condition for Use: This software is freely available, but we expect that all publications describing  work using this software , or all commercial products using it, quote at least one of the references given below. This software is released under the BSD License
You are welcome to grab the full Unix distribution, containing source code, Makefiles and User Guide.

L-BFGS-B was upgraded on August 2, 2011 from version Lbfgsb.2.1 to version Lbfgsb.3.0 (see reference 3. below).

Click here to download L-BFGS-B version Lbfgsb.2.1

Click here to download L-BFGS-B version Lbfgsb.3.0

Both versions can be installed using the same commands:

Save the gz file in a fresh subdirectory on your system. To install, first type

gunzip Lbfgsb.m.n.tar.gz
to produce a file Lbfgsb.m.n.tar.  Then, type
tar -xvf Lbfgsb.m.n.tar
to create the directory Lbfgsb.m.n containing the source code, Makefiles and User Guide.

Authors

Ciyou Zhu, Richard Byrd, Jorge Nocedal and Jose Luis Morales.
Test results comparing L-BFGS-B (version Lbfgsb.2.1) and MINOS can be found here

References

  1. R. H. Byrd, P. Lu and J. Nocedal. A Limited Memory Algorithm for Bound Constrained Optimization, (1995), SIAM Journal on Scientific and Statistical Computing , 16, 5, pp. 1190-1208.
  2. C. Zhu, R. H. Byrd and J. Nocedal. L-BFGS-B: Algorithm 778: L-BFGS-B, FORTRAN routines for large scale bound constrained optimization (1997), ACM Transactions on Mathematical Software, Vol 23, Num. 4, pp. 550 - 560.
  3. J.L. Morales and J. Nocedal. L-BFGS-B: Remark on Algorithm 778: L-BFGS-B, FORTRAN routines for large scale bound constrained optimization (2011), to appear in ACM Transactions on Mathematical Software.