Interface to a LBFGS solver 1.0

Date Added: May 06, 2013 | Visits: 473

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This submission contains an interface to a LBFGS solver for unconstrainted minimization problems of the formmin_{x} f(x) + c*|tilde{x}|,where x are the parameters, f is a scalar valued real function, c is a positive scalar (default value=0), |.| denotes the 1-norm, and tilde{x} is some subset of the parameters x.The submission is based on a C-port of a Fortran code by Jorge Nocedal, due to Naoaki Okazaki. In addition it also implements a method for 1-norm regularization referred to as "Orthant-Wise Limited-memory Quasi-Newton" due to Galen Andrew and Jianfeng Gao (note that global convergence to a local minimum is not guaranteed for non-convex f).Note that in order to use this code, it is necessary to download and compile libLBFGS, currently available at http://www.chokkan.org/software/liblbfgs/.Comments and suggestions are greatly appreciated.

Requirements: No special requirements

Platforms: Matlab

Keyword: Addition, Are The, Available At, Based, Code, Compile Liblbfgs, Contains An, Convergence, Cport, Currently Available, Greatly, Implements, Interface, Jorge, Norm, Norm Regularization, Quotorthantwise, Tildex

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