Class DFPMinimizer

    • Constructor Detail

      • DFPMinimizer

        public DFPMinimizer​(double epsilon,
                            int maxIterations)
        Construct a multivariate minimizer using the DFP method.
        Parameters:
        epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0
        maxIterations - the maximum number of iterations
    • Method Detail

      • updateHessianInverse

        public static Matrix updateHessianInverse​(Matrix S,
                                                  Matrix gamma,
                                                  Matrix delta)
        Sk+1 = Sk + δδ' / γ'δ - Sγγ'S' / γ'Sγ
        Parameters:
        S - the inverse of a Hessian
        gamma - γ
        delta - δ
        Returns:
        an updated Hessian matrix