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DOE OSTI · 1974924

L-BFGS Class Implementation in C++

Drayna, Travis William·Long, Louie Joseph
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Abstract

This report presents a header-only C++ class implementation of the Limited-memory BroydenFletcher-Goldfarb-Shanno (L-BFGS) algorithm. The L-BFGS method is a general purpose quasi-Netwon optimization method that builds an approximation of the descent direction from consecutive iterate and gradient vectors. The limited-memory aspect stems from the replacement of the N × N approximation matrix of the original BFGS method with M vectors of length N. An example usage of the class is included along with the reference source code.

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BibTeXRIS

Drayna, Travis William, Long, Louie Joseph. 2023-05-19. L-BFGS Class Implementation in C++. https://doi.org/10.2172/1974924

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