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: 24.2.419.0 (24.2.419.0)

Syntax

C++

Copy

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: Matrix
The 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.

Reference

ActiveSetSequentialQuadraticProgrammingOptimizer Class

AGI.Foundation.NumericalMethods Namespace

ActiveSetSequentialQuadraticProgrammingOptimizerAddLanguageSpecificTextSet("LST4143962C_0?cpp=::|nu=.");UpdateHessian Method

Parameters

Return Value

Reference

ActiveSetSequentialQuadraticProgrammingOptimizerUpdateHessian Method