Quasi-Newton Method - Implementations

Implementations

Owing to their success, there are implementations of quasi-Newton methods in almost all programming languages. The NAG Library contains several routines for minimizing or maximizing a function which use quasi-Newton algorithms.

In MATLAB's Optimization toolbox, the fminunc function uses (among other methods) the BFGS Quasi-Newton method. Many of the constrained methods of the Optimization toolbox use BFGS and the variant L-BFGS. Many user-contributed quasi-Newton routines are available on MATLAB's file exchange.

Mathematica includes quasi-Newton solvers. R's optim general-purpose optimizer routine uses the BFGS method by using method="BFGS". In the SciPy extension to Python, the scipy.optimize.minimize function includes, among other methods, a BFGS implementation.