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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: 7.3
Syntax
public class CentralDifferenceHessianUpdater : SequentialQuadraticProgrammingSolverILagrangianHessianUpdater

The CentralDifferenceHessianUpdater type exposes the following members.

Constructors
  NameDescription
Public methodCentralDifferenceHessianUpdater
Initializes a new instance of the CentralDifferenceHessianUpdater class
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Methods
  NameDescription
Public methodInitialize
Return to initial state.
Public methodLagrangianHessian
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.
See Also