Module gmw81_old

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

Warning: This code is not currently functional.

This file is part of the minfx optimisation library.

Functions

gmw_old(dfk, d2fk, I, n, mach_acc, print_prefix, print_flag, return_matrix=0)
Modified Cholesky Hessian modification.

Variables

__package__ = 'minfx.hessian_mods'

Imports: dot, sort, sqrt, transpose, eig, inv

Function Details

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

Modified Cholesky Hessian modification.

Algorithm 6.5 from page 148.

Somehow the data structures l, d, and c can be stored in d2fk!