M1QN2 and M1QN3

Large-scale unconstrained optimization

The M1QN3 routine is based on a limited memory quasi-Newton method (the l-BFGS method of Nocedal) with a dynamically updated scalar or diagonal preconditioner. The Wolfe line search is used, and the step-size is determined by the Fletcher-Lemaréchal algorithm.

The software is written in Fortran 77. Single and double precision versions are available. The routines are part of the MODULOPT library and use its communication protocol. They are fully documented.

The code has been used for problems with millions of variables in meteorology and oceanography.

Need more info?

Both Jean Charles Gilbert and Claude Lemaréchal can be reached at the following address:

INRIA-Rocquencourt
Domaine de Voluceau, BP 105    
78153 Le Chesnay
France 
Phone(Gilbert) +33 (1) 39.63.55.24
Jean-Charles.Gilbert@inria.fr 
Phone(Lemaréchal): +33 (1) 39.63.56.81 
Claude.Lemarechal@inria.fr

Reference:

J. Ch. Gilbert and C. Lemaréchal. Some numerical experiments with variable-storage quasi-Newton algorithms. Mathematical Programming, 45 (1989), pp. 407-435.

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