Is it possible to add bounded L-BFGS method (L-BFGS-B)?

[halo-rubinius]

For the bounded problem, the L-BFGS-B method is a good option, which has not been included in the library yet. while a Fortran version is out there (Fortran code for L-BFGS-B), is there any plan to implement the L-BFGS-B method in this library?

[rcurtin]

Hey @halo-rubinius, this would definitely be something really nice to add! We could implement L-BFGS-B as an optimizer that operates on constrained functions: http://ensmallen.org/docs.html#constrained-functions

I'll leave this issue open in case anyone would like to contribute L-BFGS-B (yourself included! :)) It seems likely that the existing L-BFGS code could be reused or adapted for this purpose.

[gaurav-singh1998]

Hi, @rcurtin I would like to implement this to get a better understanding of the codebase. Should I move forward with it?