optimization-0.1.9: Numerical optimization

Safe HaskellNone
LanguageHaskell2010

Optimization.LineSearch.BFGS

Contents

Synopsis

Broyden-Fletcher-Goldfarb-Shanna (BFGS) method

bfgs Source #

Arguments

:: (Metric f, Additive f, Foldable f, Traversable f, Applicative f, Fractional a, Epsilon a) 
=> LineSearch f a

line search method

-> (f a -> f a)

gradient of function

-> f (f a)

inverse Hessian at starting point

-> f a

starting point

-> [f a]

iterates

Broyden–Fletcher–Goldfarb–Shanno (BFGS) method bfgs search df b0 x0 where b0 is the inverse Hessian (the identity is often a good initial value).

Step size methods