Limited Memory Bundle Method (LMBM)
- The original FORTRAN code for the LMBM algorithm is written by Napsu Karmitsa.
- Excerpt from the description of the algorithm:
"[This is a new] limited memory bundle method for nonsmooth large-scale optimization. The new method is a hybrid of the variable metric bundle method and the limited memory variable metric methods, where the former has been developed for small- and medium-scale nonsmooth optimization and the latter have been developed for large-scale smooth optimization."
- Full explanation of the algorithm is found in this PhD thesis.
- Download the files for the LMBM method directly from the author's website here.
- In order to run this algorithm in MATLAB, you must create MATLAB mex-files for your own system.
- A mex-interface that works on some systems may also be found on Karmitsa website here.