ActiveSetSequentialQuadraticProgrammingOptimizerUpdateHessian Method |
Uses a damped Broyden-Fletcher-Goldfarb-Shanno (BFGS) quasi-Newton update
to update the Hessian matrix.
Namespace:
AGI.Foundation.NumericalMethods
Assembly:
AGI.Foundation.Core (in AGI.Foundation.Core.dll) Version: 24.3.420.0 (24.3.420.0)
Syntax public static Matrix UpdateHessian(
Matrix hessian,
double[] changeInLagrangianDerivatives,
double[] previousUnscaledStep
)
Public Shared Function UpdateHessian (
hessian As Matrix,
changeInLagrangianDerivatives As Double(),
previousUnscaledStep As Double()
) As Matrix
public:
static Matrix^ UpdateHessian(
Matrix^ hessian,
array<double>^ changeInLagrangianDerivatives,
array<double>^ previousUnscaledStep
)
static member UpdateHessian :
hessian : Matrix *
changeInLagrangianDerivatives : float[] *
previousUnscaledStep : float[] -> Matrix
Parameters
- hessian
- Type: AGI.Foundation.CoordinatesMatrix
The Hessian matrix before the update. - changeInLagrangianDerivatives
- Type: SystemDouble
The difference between the current Lagrangian
derivatives and those of the previous iteration. - previousUnscaledStep
- Type: SystemDouble
The unscaled previous step.
Return Value
Type:
MatrixThe updated value of the Hessian.
Remarks
The damped BFGS algorithm used to update the Hessian is detailed on pp. 536-537 of
the second edition of "Numerical Optimization" by J. Nocedal and S.J. Wright,
published by Springer in 2006.
See Also