public class DFPMinimizer extends HuangMinimizer
HuangMinimizer.HuangImplQuasiNewtonMinimizer.QuasiNewtonImplSteepestDescentMinimizer.SteepestDescentImplepsilon, maxIterations| Constructor and Description |
|---|
DFPMinimizer(double epsilon,
int maxIterations)
Construct a multivariate minimizer using the DFP method.
|
| Modifier and Type | Method and Description |
|---|---|
static Matrix |
updateHessianInverse(Matrix S,
Matrix gamma,
Matrix delta)
Sk+1 = Sk + δδ' / γ'δ - Sγγ'S' / γ'Sγ
|
solvepublic DFPMinimizer(double epsilon,
int maxIterations)
epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0maxIterations - the maximum number of iterationspublic static Matrix updateHessianInverse(Matrix S, Matrix gamma, Matrix delta)
S - the inverse of a Hessiangamma - γdelta - δCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.