M1QN3
M1QN3
http://www-rocq.inria.fr/estime/modulopt/optimization-routines/m1qn3/m1qn3.html
A solver of large-scale unconstrained minimization problems.
The routine M1QN3 has been designed to minimize functions depending on a very large number of variables (several hundred million is sometimes possible) not subject to constraints. It implements a limited memory quasi-Newton technique (the L-BFGS method of J. Nocedal) with a dynamically updated scalar or diagonal preconditioner. It uses line-search to enforce global convergence; more precisely, the step-size is determined by the Fletcher-Lemaréchal algorithm and realizes the Wolfe conditions.
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http://www-rocq.inria.fr/estime/modulopt/optimization-routines/m1qn3/m1qn3-3.2-distrib.tgz
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Leaders and contributors
Contact(s) | Role |
---|---|
Claude Lemarechal | Maintainer |
Jean-Charles Gilbert | Maintainer |
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