# ConstrainedOptPack::MatrixSymPosDefLBFGS Class Reference

Implementation of limited Memory BFGS matrix for arbitrary vector spaces.
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`#include <ConstrainedOptPack_MatrixSymPosDefLBFGS.hpp>`

## Detailed Description

Implementation of limited Memory BFGS matrix for arbitrary vector spaces.
The function `set_num_updates_stored()`

must be called first to set the maximum number of the most recent updates that can be stored. The storage requirements for this class are `O( n*m + m*m )`

which is `O(n*m)`

when `n >> m`

which is expected (where `n`

is the dimension of the vector space and `m`

is the maximum number of updates stored).

This implementation is based on:

Byrd, Nocedal, and Schnabel, "Representations of quasi-Newton matrices and their use in limited memory methods", Mathematical Programming, 63 (1994)

Consider BFGS updates of the form:

( B^{k-1}, s^{k-1}, y^{k-1} ) -> B^{k}
where:
B^{k} = B^{k-1} - ( (B*s)*(B*s)' / (s'*B*s) )^{k-1} + ( (y*y') / (s'*y) )^{k-1}
B <: R^(n x n)
s <: R^(n)
y <: R^(n)

Now let us consider limited memory updating. For this implementation we set: Bo = ( 1 / gamma_k ) * I
where:
/ (s^{k-1}'*y^{k-1})/(y^{k-1}'*y^{k-1}) : if auto_rescaling() == true
gamma_k = |
\ 1/alpha from last call to init_identity(n,alpha) : otherwise

Now let us define the matrices `S`

and `Y`

that store the update vectors `s^{i}`

and `y^{i}`

for `i = 1 ... m_bar`

: S = [ s^{1}, s^{2},...,s^{m_bar} ] <: R^(n x m)
Y = [ y^{1}, y^{2},...,y^{m_bar} ] <: R^(n x m)

Here we are only storing the `m_bar <= m`

most recent update vectors and their ordering is significant. The columns `S(:,m_bar)`

and `Y(:,m_bar)`

contain the most recent update vectors. This is all client needs to know in order to reconstruct the updates themselves.
This class allows matrix-vector products `x = B*y`

and the inverse matrix-vector products `x = inv(B)*y`

to be performed at a cost of about `O(n*m_bar^2)`

.

Definition at line 97 of file ConstrainedOptPack_MatrixSymPosDefLBFGS.hpp.

The documentation for this class was generated from the following file:

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