DampedBFGSHessianUpdater Class

Class DampedBFGSHessianUpdater updates the value of the Lagrangian Hessian based on iterate values using a quasi-Newton approximation.

Inheritance Hierarchy

SystemObject
CenterSpace.NMath.CoreDampedBFGSHessianUpdater

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

Syntax

C++

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public class DampedBFGSHessianUpdater : SequentialQuadraticProgrammingSolverILagrangianHessianUpdater

Public Class DampedBFGSHessianUpdater
	Implements SequentialQuadraticProgrammingSolverILagrangianHessianUpdater

public ref class DampedBFGSHessianUpdater : SequentialQuadraticProgrammingSolverILagrangianHessianUpdater

type DampedBFGSHessianUpdater = 
    class
        interface SequentialQuadraticProgrammingSolverILagrangianHessianUpdater
    end

The DampedBFGSHessianUpdater type exposes the following members.

Constructors

	Name	Description
	DampedBFGSHessianUpdater	Initializes a new instance of the DampedBFGSHessianUpdater class

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Methods

	Name	Description
	Initialize	Return to initial state.
	LagrangianHessian(SequentialQuadraticProgrammingSolverIteration)	Computes an update to the Lagrangian Hessian from the values of the current iterate.
	LagrangianHessian(DoubleVector, DoubleVector, LagrangianFunction, DoubleMatrix)	Computes an update to the Lagrangian Hessian from the values of the current iterate solution x, the iterate value of the Lagrangian multipliers lambda, and the Lagrangian function L.

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Remarks

The algorithm is based on the BFGS formula, but keeps updates positive definite by interpolating the current approximation and the one produced by the unmodified BFGS formula.

Algorithm taken from Numerical Optimization, 2nd Edition Jorge Nocedal Stephen J. Wright ISBN 978-0-387-30303-1 Chapter 18, section 3.

Reference

CenterSpace.NMath.Core Namespace