public class DFPMinimizer extends HuangMinimizer
HuangMinimizer.HuangImpl
QuasiNewtonMinimizer.QuasiNewtonImpl
SteepestDescentMinimizer.SteepestDescentImpl
epsilon, maxIterations
Constructor and Description |
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DFPMinimizer(double epsilon,
int maxIterations)
Construct a multivariate minimizer using the DFP method.
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Modifier and Type | Method and Description |
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static Matrix |
updateHessianInverse(Matrix S,
Matrix gamma,
Matrix delta)
Sk+1 = Sk + δδ' / γ'δ - Sγγ'S' / γ'Sγ
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solve
public 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.