lbfgs
Limited-memory BFGS Optimization
A wrapper built around the libLBFGS optimization library by Naoaki Okazaki. The lbfgs package implements both the Limited-memory Broyden-Fletcher-Goldfarb-Shanno (L-BFGS) and the Orthant-Wise Quasi-Newton Limited-Memory (OWL-QN) optimization algorithms. The L-BFGS algorithm solves the problem of minimizing an objective, given its gradient, by iteratively computing approximations of the inverse Hessian matrix. The OWL-QN algorithm finds the optimum of an objective plus the L1-norm of the problem's parameters. The package offers a fast and memory-efficient implementation of these optimization routines, which is particularly suited for high-dimensional problems.
- Version1.2.1.2
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release06/23/2022
Documentation
Team
Antonio Coppola
Brandon Stewart
Show author detailsRolesAuthor, Copyright holderNaoaki Okazaki
Show author detailsRolesAuthor, Copyright holderDavid Ardia
Show author detailsRolesContributor, Copyright holderDirk Eddelbuettel
Show author detailsRolesContributor, Copyright holderKatharine Mullen
Show author detailsRolesContributor, Copyright holderJorge Nocedal
Show author detailsRolesContributor, Copyright holder
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