private OptVector[] GetApproximateInverseHessianMatrix(
OptVector[] invHessian,
OptVector yk,
OptVector sk)
{
double denom = yk * sk;
OptVector[] skyk = OptVector.Mult(sk, yk);
OptVector[] yksk = OptVector.Mult(yk, sk);
OptVector[] sksk = OptVector.Mult(sk, sk);
OptVector[] v1 = OptVector.SubtractFromIdentity(OptVector.Div(skyk, denom));
OptVector[] v2 = OptVector.SubtractFromIdentity(OptVector.Div(yksk, denom));
OptVector[] v3 = OptVector.Div(sksk, denom);
return(OptVector.Sum(OptVector.Mult(OptVector.Mult(v1, invHessian), v2), v3));
}
public static OptVector Derivative(Func <double[], double> f, OptVector x)
{
double[] result = new double[x.Count];
for (int i = 0; i < x.Count; i++)
{
OptVector v = new OptVector(x);
result[i] = (f(OptVector.Min(v, h2, i).MinArray) - 8.0 * f(OptVector.Min(v, h, i).MinArray) + 8.0 * f(OptVector.Sum(v, h, i).MinArray) - f(OptVector.Sum(v, h2, i).MinArray)) /
(h2 * 6.0);
}
return(new OptVector(result));
}