| DampedBFGSHessianUpdater Class |
Class DampedBFGSHessianUpdater updates the value of the Lagrangian Hessian based
on iterate values using a quasi-Newton approximation.
Inheritance Hierarchy Namespace: CenterSpace.NMath.CoreAssembly: NMath (in NMath.dll) Version: 7.4
Syntax 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 Methods 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