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 "New BSD License" (aka "Modified BSD License" or "3-clause 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.