Package minfx :: Package hessian_mods :: Module cholesky_mod
[hide private]
[frames] | no frames]

Module cholesky_mod

source code

Cholesky Hessian modification with added multiple of the identity.

This file is part of the minfx optimisation library.

Functions [hide private]
 
cholesky_mod(dfk, d2fk, I, n, print_prefix, print_flag, return_matrix=0)
Cholesky with added multiple of the identity.
source code
Variables [hide private]
  __package__ = 'minfx.hessian_mods'

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


Function Details [hide private]

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

source code 

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.