L1MeritStepSize Class

Class L1MeritStepSize computes the step size for a Sequential Quadratic Programming solver based on sufficient decrease in the L1 merit function.

Inheritance Hierarchy

SystemObject
CenterSpace.NMath.CoreL1MeritStepSize

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

Syntax

public class L1MeritStepSize : SequentialQuadraticProgrammingSolverIStepSizeCalculator

Public Class L1MeritStepSize
	Implements SequentialQuadraticProgrammingSolverIStepSizeCalculator

public ref class L1MeritStepSize : SequentialQuadraticProgrammingSolverIStepSizeCalculator

type L1MeritStepSize = 
    class
        interface SequentialQuadraticProgrammingSolverIStepSizeCalculator
    end

The L1MeritStepSize type exposes the following members.

Constructors

	Name	Description
	L1MeritStepSize	Constructs a L1MeritStepSize with default values.

Properties

	Name	Description
	Eta	Gets and sets the value of eta described in algorithm 18.3.
	Rho	Gets and sets the value for rho described in equation 18.36.
	Tau	Gets and sets the value of tau described in algorithm 18.3.

Methods

	Name	Description
	ComputeStepSize	Computes the step size from the given current iteration information.
	Initialize	Reset to initial state.

Remarks

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