Module gmw81

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

This file is part of the minfx optimisation library.

Functions

gmw(dfk, d2fk, I, n, mach_acc, print_prefix, print_flag, return_matrix=0)
The Gill, Murray, and Wright modified Cholesky algorithm.

Variables

__package__ = 'minfx.hessian_mods'

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

Function Details

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

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.