Module se99

The Schnabel and Eskow (SE) revised modified Cholesky factorisation Hessian modification algorithm.

This file is part of the minfx optimisation library.

Functions

se99(dfk, d2fk, I, n, tau, tau_bar, mu, print_prefix, print_flag, return_matrix=0)
A revised modified cholesky factorisation algorithm.

exec_phasetwo(A, L, P, I, E, j, n, tau, tau_bar, gamma, print_prefix, print_flag)
Phase 2 of the algorithm, A not positive definite.

jiter_factor(A, L, j, n)
Perform jth iteration of factorisation.

Variables

__package__ = 'minfx.hessian_mods'

Imports: array, dot, float64, identity, sort, sqrt, take, transpose, zeros, cholesky, eig, LinAlgError, solve

Function Details

se99(dfk, d2fk, I, n, tau, tau_bar, mu, print_prefix, print_flag, return_matrix=0)

A revised modified cholesky factorisation algorithm.

Schnabel, R. B. and Eskow, E. 1999, A revised modifed cholesky factorisation algorithm. SIAM J. Optim. 9, 1135-1148.