Module gmw81

Functions

gmw(dfk, d2fk, I, n, mach_acc, print_prefix, print_flag, return_matrix=0)
The Gill, Murray, and Wright modified Cholesky algorithm.

Imports: LinAlgError, cholesky_decomposition, eigenvalues, inverse, solve_linear_equations, sqrt, Float64, array, dot, identity, matrixmultiply, transpose

Function Details

gmw(dfk, d2fk, I, n, mach_acc, print_prefix, print_flag, return_matrix=0)

The Gill, Murray, and Wright modified Cholesky algorithm.

Algorithm 6.5 from page 148 of 'Numerical Optimization' by Jorge Nocedal and Stephen J. Wright, 1999, 2nd ed.

Returns the modified Newton step.