A small, self-contained implementation of the Broyden–Fletcher–Goldfarb–Shanno algorithm (BFGS) with line-search for unconstraint nonlinear optimisation.
The implementation avoids any memory allocation and is well-suited for embedded applications.
This code is experimental. Use it on your own risk and don't blame me if something goes wrong. Don't use it in critical applications - there are more battle-tested implementations of the BFGS algorithm around.
If this doesn't scare you, give it a try. I'd be happy to get feedback.
See Wikipedia for a brief introduction. An in-depth description can be found in the following textbook:
Jorge Nocedal and Stephen J. Wright: Numerical Optimization, Second Edition, 2006, Springer Verlag
Copyright (c) 2022 Michael Weitzel [email protected]
This file is licensed under the terms of the standard MIT License; see the file LICENSE for details.