scitbx::lbfgs Namespace Reference

Limited-memory Broyden-Fletcher-Goldfarb-Shanno (LBFGS) minimizer. More...

Classes
class	drop_convergence_test
	Convergence test based on monitoring an objective function. More...
class	error
	Generic exception class for lbfgs error messages. More...
class	error_internal_error
	Specific exception class. More...
class	error_improper_input_parameter
	Specific exception class. More...
class	error_improper_input_data
	Specific exception class. More...
class	error_search_direction_not_descent
	Specific exception class. More...
class	error_line_search_failed
	Specific exception class. More...
class	error_line_search_failed_rounding_errors
	Specific exception class. More...
class	minimizer
	Interface to the LBFGS minimizer. More...
class	traditional_convergence_test
	Traditional LBFGS convergence test. More...

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Detailed Description

Limited-memory Broyden-Fletcher-Goldfarb-Shanno (LBFGS) minimizer.

Implementation of the Limited-memory Broyden-Fletcher-Goldfarb-Shanno (LBFGS) algorithm for large-scale multidimensional minimization problems.

This code was manually derived from Java code which was in turn derived from the Fortran program lbfgs.f. The Java translation was effected mostly mechanically, with some manual clean-up; in particular, array indices start at 0 instead of 1. Most of the comments from the Fortran code have been pasted in.

Information on the original LBFGS Fortran source code is available at http://www.netlib.org/opt/lbfgs_um.shar . The following information is taken verbatim from the Netlib documentation for the Fortran source.

    file    opt/lbfgs_um.shar
    for     unconstrained optimization problems
    alg     limited memory BFGS method
    by      J. Nocedal
    contact nocedal@eecs.nwu.edu
    ref     D. C. Liu and J. Nocedal, ``On the limited memory BFGS method for
    ,       large scale optimization methods'' Mathematical Programming 45
    ,       (1989), pp. 503-528.
    ,       (Postscript file of this paper is available via anonymous ftp
    ,       to eecs.nwu.edu in the directory pub/lbfgs/lbfgs_um.)
    

Author:

Jorge Nocedal: original Fortran version, including comments (July 1990).
Robert Dodier: Java translation, August 1997.
Ralf W. Grosse-Kunstleve: C++ port, March 2002.