Module eigenvalue

Eigenvalue Hessian modification.

This file is part of the minfx optimisation library.

Functions

eigenvalue(dfk, d2fk, I, print_prefix, print_flag, return_matrix=0)
The eigenvalue Hessian modification.

Variables

__package__ = 'minfx.hessian_mods'

Imports: dot, sort, eig, inv

Function Details

eigenvalue(dfk, d2fk, I, print_prefix, print_flag, return_matrix=0)

The eigenvalue Hessian modification.

This modification is based on equation 6.14 from page 144 of 'Numerical Optimization' by Jorge Nocedal and Stephen J. Wright, 1999, 2nd ed.

Returns the modified Newton step.