Struct DFP 

pub struct DFP {
    pub c: Array2<f64>,
    pub n: usize,
}

DFP (Davidon–Fletcher–Powell) inverse Hessian update.

Directly updates an approximation to the inverse Hessian C ≈ H⁻¹:

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

DFP is the dual of BFGS. It updates the inverse directly and can be more efficient when inverse_multiply is called much more frequently than multiply.

Fields

c: Array2<f64>

Inverse Hessian approximation C ≈ H⁻¹

n: usize

Dimension

Implementations

impl DFP

pub fn new(n: usize) -> Self

Create with identity initialisation.

Trait Implementations

impl HessianApproximation for DFP

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.