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The Schnabel and Eskow (SE) revised modified Cholesky factorisation Hessian modification algorithm.
This file is part of the minfx optimisation library.
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__package__ =
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Imports: array, dot, float64, identity, sort, sqrt, take, transpose, zeros, cholesky, eig, LinAlgError, solve
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A revised modified cholesky factorisation algorithm. Schnabel, R. B. and Eskow, E. 1999, A revised modifed cholesky factorisation algorithm. SIAM J. Optim. 9, 1135-1148. |
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