CentralDifferenceHessianUpdaterLagrangianHessian Method

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.

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

Syntax

C++

Copy

public DoubleMatrix LagrangianHessian(
	SequentialQuadraticProgrammingSolverIteration currentIteration
)

Public Function LagrangianHessian ( 
	currentIteration As SequentialQuadraticProgrammingSolverIteration
) As DoubleMatrix

public:
virtual DoubleMatrix^ LagrangianHessian(
	SequentialQuadraticProgrammingSolverIteration^ currentIteration
) sealed

abstract LagrangianHessian : 
        currentIteration : SequentialQuadraticProgrammingSolverIteration -> DoubleMatrix 
override LagrangianHessian : 
        currentIteration : SequentialQuadraticProgrammingSolverIteration -> DoubleMatrix

Parameters

currentIteration SequentialQuadraticProgrammingSolverIteration: The current iteration values.

Return Value

DoubleMatrix
Hessian estimate update.

Implements

SequentialQuadraticProgrammingSolverILagrangianHessianUpdaterLagrangianHessian(SequentialQuadraticProgrammingSolverIteration)

Reference

CentralDifferenceHessianUpdater Class

CenterSpace.NMath.Core Namespace