lbfgsb.extract_hess_inv_diag

lbfgsb.extract_hess_inv_diag(hess_inv: LbfgsInvHessProduct) → ndarray[tuple[Any, ...], dtype[float64]]

Extract efficiently the diagonal of the L-BFGS approximate inverse Hessian.

It relies on the linear operator matvec operation and consequenlty does not require to build the dense matrix which is much longer and generally untractable for large-scale problems.

Parameters:

hess_inv (LbfgsInvHessProduct) – Linear operator for the L-BFGS approximate inverse Hessian.

Returns:

The diagonal of the L-BFGS approximated inverse Hessian.

Return type:

NDArrayFloat