Struct BFGSUpdate 

pub struct BFGSUpdate {
    pub b: Array2<f64>,
    pub h_inv: Array2<f64>,
    pub n: usize,
}

BFGS Hessian update (dense).

Maintains B ≈ H and H_inv ≈ H⁻¹ via the rank-2 formula:

Bₖ₊₁ = Bₖ - (Bₖ sₖ)(Bₖ sₖ)ᵀ / (sₖᵀ Bₖ sₖ) + yₖ yₖᵀ / (yₖᵀ sₖ)

and the Sherman–Morrison–Woodbury update for the inverse:

H_{k+1} = (I - ρ sₖ yₖᵀ) Hₖ (I - ρ yₖ sₖᵀ) + ρ sₖ sₖᵀ

where ρ = 1 / (yₖᵀ sₖ).

Fields

b: Array2<f64>

Hessian approximation B ≈ H

h_inv: Array2<f64>

Inverse Hessian approximation H ≈ H⁻¹

n: usize

Dimension

Implementations

impl BFGSUpdate

pub fn new(n: usize) -> Self

Create with identity initialisations.

Trait Implementations

impl HessianApproximation for BFGSUpdate

fn update(&mut self, s: &[f64], y: &[f64]) -> Result<(), OptimizeError>

Update the approximation given a new step-curvature pair.

fn multiply(&self, v: &[f64]) -> Result<Vec<f64>, OptimizeError>

Compute H v (Hessian times vector).

fn inverse_multiply(&self, v: &[f64]) -> Result<Vec<f64>, OptimizeError>

Compute H⁻¹ v (inverse Hessian times vector).

fn to_dense(&self) -> Array2<f64>

Return the current approximation as a dense matrix (Hessian or inverse, implementation-defined).

fn reset(&mut self)

Reset to the initial (identity) approximation.

fn dim(&self) -> usize

Problem dimension n.