This is an interface to the library implementing Limited Memory Bundle Method taken from http://napsu.karmitsa.fi/lmbm/ allowing the library to be called from Julia. The original Fortran code is located in deps directory and I have just created a wrapper around it. Look in test directory to see, how to use it. Please, visit the original page for license or question for permissions. Note that the original fortran code is included in deps.
LMBM is a limited memory bundle method for general, possible nonconvex, nonsmooth (nondifferentiable) large-scale minimization. If you use the method in research work, you should mention one of the following papers References
N. Karmitsa, "LMBM — FORTRAN Subroutines for Large-Scale Nonsmooth Minimization: User's Manual", TUCS Technical Report, No. 856, Turku Centre for Computer Science, Turku, 2007. N. Haarala, K. Miettinen, M. M. Mäkelä, "Globally Convergent Limited Memory Bundle Method for Large-Scale Nonsmooth Optimization", Mathematical Programming, Vol. 109, No. 1, 2007, 181-205. M. Haarala, K. Miettinen, M. M. Mäkelä, "New Limited Memory Bundle Method for Large-Scale Nonsmooth Optimization", Optimization Methods and Software, Vol. 19, No. 6, 2004, 673-692. M. Haarala, "Large-Scale Nonsmooth Optimization: Variable Metric Bundle Method with Limited Memory", Doctoral Thesis, Department of Mathematical Information Technology, University of Jyväskylä, Jyväskylä, 2004.
The software is free for academic teaching and research purposes but I ask you to refer at least one of the references given below if you use it.