Class DFPMinimizer
- java.lang.Object
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- dev.nm.solver.multivariate.unconstrained.c2.steepestdescent.SteepestDescentMinimizer
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- dev.nm.solver.multivariate.unconstrained.c2.quasinewton.QuasiNewtonMinimizer
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- dev.nm.solver.multivariate.unconstrained.c2.quasinewton.HuangMinimizer
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- dev.nm.solver.multivariate.unconstrained.c2.quasinewton.DFPMinimizer
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- All Implemented Interfaces:
Minimizer<C2OptimProblem,IterativeSolution<Vector>>
,IterativeC2Minimizer
,IterativeMinimizer<C2OptimProblem>
,MultivariateMinimizer<C2OptimProblem,IterativeSolution<Vector>>
,Optimizer<C2OptimProblem,IterativeSolution<Vector>>
public class DFPMinimizer extends HuangMinimizer
The Davidon-Fletcher-Powell method is a quasi-Newton method to solve unconstrained nonlinear optimization problems. This method maintains the symmetry and positive definiteness of the Hessian matrix.- See Also:
- "Andreas Antoniou, Wu-Sheng Lu, "Section 7.5, Table 7.1," Practical Optimization: Algorithms and Engineering Applications."
- Wikipedia: Davidon-Fletcher-Powell formula
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Nested Class Summary
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Nested classes/interfaces inherited from class dev.nm.solver.multivariate.unconstrained.c2.quasinewton.HuangMinimizer
HuangMinimizer.HuangImpl
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Nested classes/interfaces inherited from class dev.nm.solver.multivariate.unconstrained.c2.quasinewton.QuasiNewtonMinimizer
QuasiNewtonMinimizer.QuasiNewtonImpl
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Nested classes/interfaces inherited from class dev.nm.solver.multivariate.unconstrained.c2.steepestdescent.SteepestDescentMinimizer
SteepestDescentMinimizer.SteepestDescentImpl
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Field Summary
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Fields inherited from class dev.nm.solver.multivariate.unconstrained.c2.steepestdescent.SteepestDescentMinimizer
epsilon, maxIterations
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Constructor Summary
Constructors Constructor Description DFPMinimizer(double epsilon, int maxIterations)
Construct a multivariate minimizer using the DFP method.
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Method Summary
All Methods Static Methods Concrete Methods Modifier and Type Method Description static Matrix
updateHessianInverse(Matrix S, Matrix gamma, Matrix delta)
Sk+1 = Sk + δδ' / γ'δ - Sγγ'S' / γ'Sγ-
Methods inherited from class dev.nm.solver.multivariate.unconstrained.c2.quasinewton.HuangMinimizer
solve
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