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C wrapper and Yorick plugin for L-BFGS-B

This package provides wrapper code to use L-BFGS-B algorithm in your C or Yorick code.

Directory lbfgsb-3.0 contains original code of L-BFGS-B algorithm (version 3.0) by R. H. Byrd, P. Lu, J. Nocedal and C. Zhu (see ref. [1] and [2]). This code can be downloaded at http://users.iems.northwestern.edu/~nocedal/lbfgsb.html

Usage in C

In addition to the FORTRAN code in directory lbfgsb-3.0, files lbfgsb.h and lbfgsb-wrap.c are all you need. You may have to edit the basic types defined at the beginning of lbfgsb.h to match the settings of your FORTRAN compiler.

Note that the build process renames all FORTRAN functions and subroutines to be prefixed by lb to avoid conflicts.

Installation of the Yorick plugin

In short, building and installing the plug-in can be as quick as:

cd $BUILD_DIR
$SRC_DIR/configure
make
make install

where $BUILD_DIR is the build directory (at your convenience) and $SRC_DIR is the source directory of the plug-in code. The build and source directories can be the same in which case, call ./configure to configure for building.

If the plug-in has been properly installed, it is sufficient to use any of its function (like lbfgsb_setup) to automatically load the plug-in. You may force the loading of the plug-in by something like:

#include "lbfgsb.i"

or

require, "lbfgsb.i";

in your code.

More detailled explanations are given below.

  1. You must have Yorick installed on your machine.

  2. Unpack the plug-in code somewhere.

  3. Configure for compilation. There are two possibilities:

    • For an in-place build, go to the source directory of the plug-in code and run the configuration script:

      cd $SRC_DIR
./configure

      To see the configuration options, call:

          ./configure --help

    • To compile in a different build directory, say $BUILD_DIR, create the build directory, go to the build directory and run the configuration script:

      mkdir -p BUILD_DIR
cd BUILD_DIR
$SRC_DIR/configure

      where $SRC_DIR is the path to the source directory of the plug-in code. To see the configuration options, call:

      $SRC_DIR/configure --help

  4. Compile the code:

    make clean
make

  5. Install the plug-in in Yorick directories:

    make install

References

The L-BFGS-B algorithm is described in:

  1. R. H. Byrd, P. Lu, J. Nocedal and C. Zhu, A limited memory algorithm for bound constrained optimization, SIAM J. Scientific Computing 16 (1995), no. 5, pp. 1190--1208.

  2. C. Zhu, R.H. Byrd, P. Lu, J. Nocedal, L-BFGS-B: a limited memory FORTRAN code for solving bound constrained optimization problems, Tech. Report, NAM-11, EECS Department, Northwestern University, 1994.

License

  • The FORTRAN code of L-BFGS-B (version 3.0) has been released under the "New BSD License".

  • The Yorick and C code have been released under the MIT "expat" License.