lbfgs

Bound-constrainted optimization in many variables
README

OCaml bindings for L-BFGS

L-BFGS is an
optimization algorithm in the family of quasi-Newton methods that
approximates the
Broyden–Fletcher–Goldfarb–Shanno
(BFGS) algorithm using a limited amount of computer memory.

This library is a binding to Nocedal's implementation of
L-BFGS-B
which adds the possibility of setting bounds on the variables.

Install

The easiest way to install the library is to use
opam:

opam install lbfgs

If you clone this repository, download
Lbfgsb.3.0
and extract it in src/ (it should create src/Lbfgsb.3.0/).
Then issue make and make install.

In case the right FORTRAN compiler for your platform is not
automatically found, you can specify it explicitly by exporting the
FORTRANC variable before invoking opam. For example

export FORTRANC=/usr/bin/x86_64-w64-mingw32-gfortran.exe
opam install lbfgs

Documentation

If you cloned this repository, issue

dune build @doc

You can also consult the interface or
online.