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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: 24.1.418.0 (24.1.418.0)
Syntax
public static Matrix UpdateHessian(
	Matrix hessian,
	double[] changeInLagrangianDerivatives,
	double[] previousUnscaledStep
)

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.
See Also