Module cholesky_mod

Cholesky Hessian modification with added multiple of the identity.

This file is part of the minfx optimisation library.

Functions

cholesky_mod(dfk, d2fk, I, n, print_prefix, print_flag, return_matrix=0)
Cholesky with added multiple of the identity.

Variables

__package__ = 'minfx.hessian_mods'

Imports: dot, sqrt, trace, transpose, LinAlgError, cholesky, solve

Function Details

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

Cholesky with added multiple of the identity.

Algorithm 6.3 from page 145 of 'Numerical Optimization' by Jorge Nocedal and Stephen J. Wright, 1999, 2nd ed.

Returns the modified Newton step.