CentralDifferenceHessianUpdater Class

Class CentralDifferenceHessianUpdater updates the Hessian of the Lagrangian while solving a nonlinear programming problem using a Sequential Quadratic Programming algorithm.

Inheritance Hierarchy

SystemObject
CenterSpace.NMath.CoreCentralDifferenceHessianUpdater

Namespace: CenterSpace.NMath.Core
Assembly: NMath (in NMath.dll) Version: 7.4

Syntax

C++

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public class CentralDifferenceHessianUpdater : SequentialQuadraticProgrammingSolverILagrangianHessianUpdater

Public Class CentralDifferenceHessianUpdater
	Implements SequentialQuadraticProgrammingSolverILagrangianHessianUpdater

public ref class CentralDifferenceHessianUpdater : SequentialQuadraticProgrammingSolverILagrangianHessianUpdater

type CentralDifferenceHessianUpdater = 
    class
        interface SequentialQuadraticProgrammingSolverILagrangianHessianUpdater
    end

The CentralDifferenceHessianUpdater type exposes the following members.

Constructors

	Name	Description
	CentralDifferenceHessianUpdater	Initializes a new instance of the CentralDifferenceHessianUpdater class

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Methods

	Name	Description
	Initialize	Return to initial state.
	LagrangianHessian	Updates the value of the Lagrangian Hessian based on iterate values. Uses a central difference algorithm to first estmate the gradient of the Lagrangian, and another application of a centeral difference algorithm to estimate the Hessian from the gradient.

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Remarks

Uses a centeral difference method to approximate first the gradient of the Lagrangian function and then applies a centeral difference method to the gradient to estimate the Hessian.

Reference

CenterSpace.NMath.Core Namespace