Class 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

  • Constructor Details

    • HessianBFGS_DDRM

      public HessianBFGS_DDRM(boolean computeInverse)
  • Method Details