Lbfgsb.jl

This is wrapper of the famous lbfgsb fortran library of Julia language inspired by this wrapper

Update by @brunowu

This is a fork of a Julia wrapper of the L-bfgs-b fortran code from jey/Lbfgsb.jl.

The only change is to support the installation of package trough Pkg.add rather than Pkg.clone. The latter was deprecated since Julia 1.0.

run Pkg.add(PackageSpec(url="https://github.com/brunowu/Lbfgsb.jl", rev="master"))

0.0.1 (just usable)

Currently only for Linux with gfortran installed

File fotran routine is written by the authors of the following papers,

R. H. Byrd, P. Lu and J. Nocedal. A Limited Memory Algorithm for Bound Constrained Optimization, (1995), SIAM Journal on Scientific and Statistical Computing , 16, 5, pp. 1190-1208.
C. Zhu, R. H. Byrd and J. Nocedal. L-BFGS-B: Algorithm 778: L-BFGS-B, FORTRAN routines for large scale bound constrained optimization (1997), ACM Transactions on Mathematical Software, Vol 23, Num. 4, pp. 550 - 560.
J.L. Morales and J. Nocedal. L-BFGS-B: Remark on Algorithm 778: L-BFGS-B, FORTRAN routines for large scale bound constrained optimization (2011), to appear in ACM Transactions on Mathematical Software.

I am new to Julia language so the code will be cleaned gradually

First, run Pkg.clone("https://github.com/yuhonglin/Lbfgsb.jl"), then run Pkg.build("Lbfgsb")
Currently only provide a function called lbfgsb, see its option below,

ogFunc : Objective and gradient function. It accept current x and a gradient array g. It should return the objective function value and put the gradient into into g.
x : Initial value of x.
lb : lower bounds of each dimension of x. Set to -Inf if equals to [].
ub : upper bounds of each dimension of x. Set to Inf if equals to [].
btype : boundary types, see below,

btype	boundary type of corresponding dimension
0	unbounded
1	only lower bound
2	both lower and upper bound
3	only upper bound

Other parameters : see the paper above for reference (mostly does not need to modify)
iprint : printing level of the fortran routine, set to -1 if you does not want to print anything

BSD-3