All Implemented Interfaces:
Matrix, MatrixAccess, MatrixRing, MatrixTable, Densifiable, AbelianGroup<Matrix>, Monoid<Matrix>, Ring<Matrix>, Table, DeepCopyable

public class GoldfeldQuandtTrotter extends DenseMatrix
Goldfeld, Quandt and Trotter propose the following way to coerce a non-positive definite Hessian matrix to become symmetric, positive definite. For a non-positive definite Hessian matrix H, we compute \[ \widehat{H} = \frac{H + \beta I}{1 + \beta} \]
  • Constructor Details

    • GoldfeldQuandtTrotter

      public GoldfeldQuandtTrotter(Matrix H, double beta)
      Constructs a symmetric, positive definite matrix using the Goldfeld-Quandt-Trotter algorithm.
      H - a non-positive definite matrix
      beta - a positive number. The bigger beta is, the closer H^ is to I. If beta == Double.POSITIVE_INFINITY, then H^ = I.