Module cholesky

Functions

cholesky(dfk, d2fk, I, n, print_prefix, print_flag, return_matrix=0)
Cholesky with added multiple of the identity.

Imports: cholesky_decomposition, solve_linear_equations, dot, sqrt, trace, transpose

Function Details

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

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.