I believe the code can be found here: http://users.iems.northwestern.edu/~nocedal/lbfgsb.html. Specifically, lbfgsb.f in version 3.0 starts:
This is a modified version of L-BFGS-B. Minor changes in the updated c code appear preceded by a line comment as follows c c c-jlm-jn c c Major changes are described in the accompanying paper: c c Jorge Nocedal and Jose Luis Morales, Remark on "Algorithm 778: c L-BFGS-B: Fortran Subroutines for Large-Scale Bound Constrained c Optimization" (2011). To appear in ACM Transactions on c Mathematical Software, c c The paper describes an improvement and a correction to Algorithm 778. c It is shown that the performance of the algorithm can be improved c significantly by making a relatively simple modication to the subspace c minimization phase. The correction concerns an error caused by the use c of routine dpmeps to estimate machine precision. It is released under the New 3-clause BSD license, so porting it to C for inclusion into R should be OK as long as the i's are dotted and t's crossed. Avi On Mon, Oct 10, 2016 at 5:54 AM, Martin Maechler <maech...@stat.math.ethz.ch> wrote: >>>>>> Spencer Graves <spencer.gra...@prodsyse.com> >>>>>> on Sat, 8 Oct 2016 18:03:43 -0500 writes: > > [.............] > > > 2. It would be interesting to know if the > > current algorithm behind optim and optimx with > > method='L-BFGS-B' incorporates Morales and Nocedal (2011) > > 'Remark on “Algorithm 778: L-BFGS-B: Fortran Subroutines > > for Large-Scale Bound Constrained Optimization”'. I > > created this vignette and started this threat hoping that > > someone on the R Core team might decide it's worth > > checking things like that. > > well I hope you mean "thread" rather "threat" ;-) > > I've now looked at the reference above, which is indeed quite > interesting. > doi 10.1145/2049662.2049669 > --> http://dl.acm.org/citation.cfm?doid=2049662.2049669 > A "free" (pre-publication I assume) version of the manuscript is > http://www.eecs.northwestern.edu/~morales/PSfiles/acm-remark.pdf > > The authors, Morales and Nocedal, the 2nd one being one of the > original L-BFGS-B(1997) paper, make two remarks, the 2nd one > about the "machine epsilon" used, and I can assure you that R's > optim() version never suffered from that; we've always been > using a C translation of the fortran code, and then used DBL_EPSILON. > R's (main) source file for that is in .../src/appl/lbfgsb.c, e.g., here > https://svn.r-project.org/R/trunk/src/appl/lbfgsb.c > > OTOH, their remark 1 is very relevant and promising faster / > more reliable convergence. > I'd be "happy" if optim() could gain a new option, say, "L-BFGS-B-2011" > which would incorporate what they call "modified L-BFGS-B". > > However, I did not find published code to go together with their > remark. > Ideally, some of you interested in this, would provide a patch > against the above lbfgsb.c file > > Martin Maechler, > ETH Zurich > > ______________________________________________ > R-devel@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-devel ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
