The limited memory Broyden-Fletcher-Goldfarb-Shanno (l-BFGS) method in .NET (C# and Visual Basic)
The l-BFGS method is similar to the BFGS method but it uses less memory. That's why it is well suited for large optimization problems with dimensions above 1000. For more details please consult the Wikipedia article.
A simple example for the l-BFGS method
Minimization of a quadratic function with the l-BFGS method
You can learn more about unconstrained optimization here. The API of l-BFGS is found here.