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The Gill, Murray, and Wright (GMW) modified Cholesky Hessian modification algorithm.
Warning: This code is not currently functional.
This file is part of the minfx optimisation library.
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__package__ =
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Imports: dot, sort, sqrt, transpose, eig, inv
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Modified Cholesky Hessian modification. Algorithm 6.5 from page 148. Somehow the data structures l, d, and c can be stored in d2fk! |
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