lbfgsb.bfgsmats

An implicit representation of the BFGS approximation to the Hessian matrix B

B = theta * I - W * M * W’ H = inv(B)

Classes

LBFGSB_MATRICES(n)

Represent the L-BFGS matrices.

Functions

bmv(invMfactors, v)	Return the product of the 2m x 2m middle matrix with a vector v.
form_invMfactors(theta, STS, L, D)	Return upper triangle of the cholesky factorization of the inverse of M_k.
update_lbfgs_matrices(xk, gk, X, G, maxcor, ...)	Update lists S and Y, and form the L-BFGS Hessian approximation.
update_X_and_G(xk, gk, X, G, maxcor[, eps, ...])

Reference: [Nocedal, 1980] [Byrd et al., 1994] [Byrd et al., 1995]

Classes

LBFGSB_MATRICES(n)

Represent the L-BFGS matrices.