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bundles / scipy 1.17.1 / scipy / optimize / _hessian_update_strategy / BFGS / _update_inverse_hessian

function

scipy.optimize._hessian_update_strategy:BFGS._update_inverse_hessian

source: /scipy/optimize/_hessian_update_strategy.py :341

Signature

def   _update_inverse_hessian ( self ,  ys ,  Hy ,  yHy ,  s )

Summary

Update the inverse Hessian matrix.

Extended Summary

BFGS update using the formula:

``H <- H + ((H*y).T*y + s.T*y)/(s.T*y)^2 * (s*s.T)

  • 1/(s.T*y) * ((H*y)*s.T + s*(H*y).T)``

where s = delta_x and y = delta_grad. This formula is equivalent to (6.17) in [1] written in a more efficient way for implementation.

Aliases

  • scipy.optimize.BFGS._update_inverse_hessian