Package minfx :: Package hessian_mods :: Module gmw81
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Module gmw81

source code

The Gill, Murray, and Wright (GMW) modified Cholesky Hessian modification algorithm.

This file is part of the minfx optimisation library.

Functions [hide private]
 
gmw(dfk, d2fk, I, n, mach_acc, print_prefix, print_flag, return_matrix=0)
The Gill, Murray, and Wright modified Cholesky algorithm.
source code
Variables [hide private]
  __package__ = 'minfx.hessian_mods'

Imports: sqrt, dot, transpose, cholesky, eig, inv, LinAlgError, solve


Function Details [hide private]

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

source code 

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.