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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
public class DampedBFGSHessianUpdater : SequentialQuadraticProgrammingSolverILagrangianHessianUpdater

The DampedBFGSHessianUpdater type exposes the following members.

Constructors
  NameDescription
Public methodDampedBFGSHessianUpdater
Initializes a new instance of the DampedBFGSHessianUpdater class
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Methods
  NameDescription
Public methodInitialize
Return to initial state.
Public methodLagrangianHessian(SequentialQuadraticProgrammingSolverIteration)
Computes an update to the Lagrangian Hessian from the values of the current iterate.
Public methodLagrangianHessian(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.

See Also