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Cholesky Hessian modification with added multiple of the identity.
This file is part of the minfx optimisation library.
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__package__ =
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Imports: dot, sqrt, trace, transpose, LinAlgError, cholesky, solve
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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. |
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