SciPy

scipy.optimize.SR1

class scipy.optimize.SR1(min_denominator=1e-08, init_scale='auto')[source]

Symmetric-rank-1 Hessian update strategy.

Parameters
min_denominatorfloat

This number, scaled by a normalization factor, defines the minimum denominator magnitude allowed in the update. When the condition is violated we skip the update. By default uses 1e-8.

init_scale{float, ‘auto’}, optional

Matrix scale at first iteration. At the first iteration the Hessian matrix or its inverse will be initialized with init_scale*np.eye(n), where n is the problem dimension. Set it to ‘auto’ in order to use an automatic heuristic for choosing the initial scale. The heuristic is described in [1], p.143. By default uses ‘auto’.

Notes

The update is based on the description in [1], p.144-146.

References

1(1,2)

Nocedal, Jorge, and Stephen J. Wright. “Numerical optimization” Second Edition (2006).

Methods

dot(p)

Compute the product of the internal matrix with the given vector.

get_matrix()

Return the current internal matrix.

initialize(n, approx_type)

Initialize internal matrix.

update(delta_x, delta_grad)

Update internal matrix.

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