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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: 7.3
Syntax
public class L1MeritStepSize : SequentialQuadraticProgrammingSolverIStepSizeCalculator

The L1MeritStepSize type exposes the following members.

Constructors
  NameDescription
Public methodL1MeritStepSize
Constructs a L1MeritStepSize with default values.
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Properties
  NameDescription
Public propertyEta
Gets and sets the value of eta described in algorithm 18.3.
Public propertyRho
Gets and sets the value for rho described in equation 18.36.
Public propertyTau
Gets and sets the value of tau described in algorithm 18.3.
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Methods
  NameDescription
Public methodComputeStepSize
Computes the step size from the given current iteration information.
Public methodInitialize
Reset to initial state.
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Remarks
Algorithm taken from Numerical Optimization, 2nd Edition, Jorge Nocedal, Stephen J. Wright, ISBN 978-0-387-30303-1, Chapter 18, section 3.
See Also