Package org.ddogleg.optimization.math

Class HessianBFGS_DDRM

java.lang.Object

org.ddogleg.optimization.math.HessianMath_DDRM

org.ddogleg.optimization.math.HessianBFGS_DDRM

All Implemented Interfaces:

HessianBFGS, HessianMath

public class HessianBFGS_DDRM
extends HessianMath_DDRM
implements HessianBFGS

Uses DFP to estimate the Hessian and BFGS to estimate the inverse Hessian. See [1]. A more efficient way to do this would be to compute the Cholesky decomposition directly, then use that for forward and inverse operations

[1] Jorge Nocedal,and Stephen J. Wright "Numerical Optimization" 2nd Ed. Springer 2006

Field Summary

Fields inherited from class org.ddogleg.optimization.math.HessianMath_DDRM

hessian, solver

Constructor Summary

Constructors

Constructor	Description
HessianBFGS_DDRM(boolean computeInverse)

Method Summary

Modifier and Type	Method	Description
void	divideRowsCols(DMatrixRMaj scaling)	Applies row and column division using the scaling vector.
void	init(int numParameters)	Initialize Hessian to be in its initial state with the specified dimensions
boolean	initializeSolver()	Initializes the solver
boolean	solve(DMatrixRMaj Y, DMatrixRMaj step)	Solves the system step = inv(B)*Y
void	update(DMatrixRMaj s, DMatrixRMaj y)	Updates the Hessian using BFGS

Methods inherited from class org.ddogleg.optimization.math.HessianMath_DDRM

extractDiagonals, getHessian, innerVectorHessian, setDiagonals

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.ddogleg.optimization.math.HessianMath

extractDiagonals, innerVectorHessian, setDiagonals

Constructor Details

HessianBFGS_DDRM

public HessianBFGS_DDRM(boolean computeInverse)

Method Details

divideRowsCols

public void divideRowsCols(DMatrixRMaj scaling)

Description copied from interface: HessianMath

Applies row and column division using the scaling vector. B = inv(diag(s))*B*inv(diag(s))

Specified by:

divideRowsCols in interface HessianMath

Overrides:

divideRowsCols in class HessianMath_DDRM

init

public void init(int numParameters)

Description copied from interface: HessianMath

Initialize Hessian to be in its initial state with the specified dimensions

Specified by:

init in interface HessianMath

Overrides:

init in class HessianMath_DDRM

Parameters:

numParameters - Number of optimization parameters. Hessian will be N by N

update

public void update(DMatrixRMaj s,
 DMatrixRMaj y)

Description copied from interface: HessianBFGS

Updates the Hessian using BFGS

Specified by:

update in interface HessianBFGS

Parameters:

s - change in state (new - old)

y - change in gradient (new - old)

initializeSolver

public boolean initializeSolver()

Description copied from interface: HessianMath

Initializes the solver

Specified by:

initializeSolver in interface HessianMath

Overrides:

initializeSolver in class HessianMath_DDRM

Returns:

true if successful

solve

public boolean solve(DMatrixRMaj Y,
 DMatrixRMaj step)

Description copied from interface: HessianMath

Solves the system step = inv(B)*Y

Specified by:

solve in interface HessianMath

Overrides:

solve in class HessianMath_DDRM

Parameters:

Y - (Input) vector

step - (output) vector