Package minimise :: Package hessian_mods :: Module cholesky
[hide private]
[frames] | no frames]

Module cholesky

source code

Functions [hide private]
 
cholesky(dfk, d2fk, I, n, print_prefix, print_flag, return_matrix=0)
Cholesky with added multiple of the identity.
source code

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


Function Details [hide private]

cholesky(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.