Introduction to lbfgs (Maxima 5.44.0 Manual)

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### 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. 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)

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

Categories: Numerical methods Optimization Share packages Package lbfgs

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