Software
Optimization software developed
by J. Nocedal's team
Five optimization packages are available:
[Click for details]
KNITRO is available for academic use for a nominal fee. Commercial licenses for KNITRO are available (see below).
L-BFGS, PREQN, CG+, and Wedge, can be freely used for research, education or commercial purposes.
KNITRO: General Nonlinear Programming Solver
KNITRO is a package for solving unconstrained and
constrained optimization problems. Commercial, academic and government
licenses are available.
Download a free
student/evaluation edition of KNITRO.
L-BFGS: Limited Memory Codes
Two codes for large-scale optimization are part of this package:
-
L-BFGS is a code for solving unconstrained
problems. Author: J. Nocedal
- L-BFGS-B is capable of solving problems with simple bounds on the variables. Authors: C. Zhu, R. Byrd, and J. Nocedal
Click the names for more info/downloads of the respective codes.
For more
information about the limited memory method see the
NEOS Optimization Guide.
Numerical results comparing L-BFGS and MINOS can be found here.
PREQN: Software for Preconditioning the Conjugate
Gradient Method
The package PREQN automatically generates preconditioners when solving a sequence of linear systems of equations by means of the conjugate gradient method.
Authors: J. L. Morales and J. Nocedal
CG+: Conjugate Gradient Software
The package CG+ is a Conjugate Gradient code for solving large-scale, unconstrained, nonlinear optimization problems. CG+ implements three different versions of the Conjugate Gradient method: the Fletcher-Reeves method, the Polak-Ribiere method, and the positive Polak-Ribiere method (Beta always non-negative).
Authors: G. Liu, J. Nocedal and R. Waltz
Wedge: Derivative-Free Optimization
WEDGE is a Matlab code for solving unconstrained optimization problems in which the objective function is smooth and the number of variables is moderate, but derivatives are not available.
Author: M. Marazzi
MORE INFO ON WEDGEtrial point $x^+$ provides sufficient reduction in the objective function.
Jorge Nocedal, Professor, MEAS / ECE, Northwestern University