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Interface to a LBFGS solver 1.0

  Date Added: May 06, 2013  |  Visits: 285

Interface to a LBFGS solver

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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
Users rating: 0/10

License: Freeware Size: 10 KB
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