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https://github.com/jacobwilliams/lbfgsb
Modern Fortran Refactoring of L-BFGS-B Nonlinear Optimization Code
https://github.com/jacobwilliams/lbfgsb
bfgs bfgs-algorithm constrained-optimization fortran fortran-package-manager lbfgsb lbfgsb-solver numerical-optimization
Last synced: about 6 hours ago
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Modern Fortran Refactoring of L-BFGS-B Nonlinear Optimization Code
- Host: GitHub
- URL: https://github.com/jacobwilliams/lbfgsb
- Owner: jacobwilliams
- License: other
- Created: 2023-04-08T17:47:48.000Z (over 1 year ago)
- Default Branch: master
- Last Pushed: 2024-01-23T15:14:14.000Z (10 months ago)
- Last Synced: 2024-01-29T14:46:30.363Z (9 months ago)
- Topics: bfgs, bfgs-algorithm, constrained-optimization, fortran, fortran-package-manager, lbfgsb, lbfgsb-solver, numerical-optimization
- Language: Fortran
- Homepage:
- Size: 2.88 MB
- Stars: 6
- Watchers: 3
- Forks: 1
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: License.txt
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README
============
This is a modern Fortran refactoring of the [L-BFGS-B](http://users.iems.northwestern.edu/~nocedal/lbfgsb.html) limited memory code for solving bound constrained optimization problems [L-BFGS-B version 3.0, march, 2011].
**This is a work in progress.**
[](https://github.com/topics/fortran)
[](https://github.com/jacobwilliams/lbfgsb/releases/latest)
[](https://github.com/jacobwilliams/lbfgsb/actions)
[](https://codecov.io/gh/jacobwilliams/lbfgsb)
### Compiling
The library can be compiled with recent versions the Intel Fortran Compiler and GFortran (and presumably any other Fortran compiler that supports modern standards).
A `fpm.toml` file is provided for compiling `LBFGSB` with the [Fortran Package Manager](https://github.com/fortran-lang/fpm). For example, to build:
```
fpm build --profile release
```
By default, the library is built with double precision (`real64`) real values. Explicitly specifying the real kind can be done using the following processor flags:
Preprocessor flag | Kind | Number of bytes
----------------- | ----- | ---------------
`REAL32` | `real(kind=real32)` | 4
`REAL64` | `real(kind=real64)` | 8
`REAL128` | `real(kind=real128)` | 16
For example, to build a single precision version of the library, use:
```
fpm build --profile release --flag "-DREAL32"
```
To run the unit tests:
```
fpm test --profile release
```
### Documentation
* The latest API documentation can be found [here](https://jacobwilliams.github.io/lbfgsb/). This was generated from the source code using [FORD](https://github.com/Fortran-FOSS-Programmers/ford) (i.e. by running `ford ford.md`).
* The following four articles were also included in the original package:
1. `algorithm.pdf` - describes the algorithm
2. `compact.pdf` - presents the compact form of matrices
3. `code.pdf` - describes the code
4. `acm-remark.pdf` - describes the modification/correction
The most useful articles for those who only wish to use the code
are [3,4]. Users interested in understanding the algorithm should
read [1] and possibly also [2].
### How to use L-BFGS-B
The simplest way to use the code is to modify one of the
drivers provided in the package. Most users will only need to make
a few changes to the drivers to run their applications.
The user is required to calculate the function value `f` and its gradient `g`.
In order to allow the user complete control over these computations,
reverse communication is used. The routine `setulb` must be called
repeatedly under the control of the variable task.
### License
L-BFGS-B is released under the "New BSD License" (aka "Modified BSD License" or
"3-clause license")
Please read attached file License.txt
### References
* R. H. Byrd, P. Lu and J. Nocedal. [A Limited Memory Algorithm for Bound Constrained Optimization](http://www.ece.northwestern.edu/~nocedal/PSfiles/limited.ps.gz), (1995), SIAM Journal on Scientific and Statistical Computing , 16, 5, pp. 1190-1208.
* C. Zhu, R. H. Byrd and J. Nocedal. [L-BFGS-B: Algorithm 778: L-BFGS-B, FORTRAN routines for large scale bound constrained optimization](http://www.ece.northwestern.edu/~nocedal/PSfiles/lbfgsb.ps.gz) (1997), ACM Transactions on Mathematical Software, Vol 23, Num. 4, pp. 550 - 560.
* J.L. Morales and J. Nocedal. [L-BFGS-B: Remark on Algorithm 778: L-BFGS-B, FORTRAN routines for large scale bound constrained optimization](http://www.ece.northwestern.edu/~morales/PSfiles/acm-remark.pdf) (2011), ACM Transactions on Mathematical Software, Volume 38, Issue 1, No. 7, pp 1 - 4.