Namespaces

Types in MathNet.Numerics.Optimization

Type BfgsSolver

Namespace MathNet.Numerics.Optimization

Broyden-Fletcher-Goldfarb-Shanno solver for finding function minima See http://en.wikipedia.org/wiki/Broyden%E2%80%93Fletcher%E2%80%93Goldfarb%E2%80%93Shanno_algorithm Inspired by implementation: https://github.com/PatWie/CppNumericalSolvers/blob/master/src/BfgsSolver.cpp

Static Functions

Public Static Functions

Vector<T> Solve(Vector initialGuess, Func<Vector<double>, double> functionValue, Func<Vector<double>, Vector<double>> functionGradient)

Finds a minimum of a function by the BFGS quasi-Newton method This uses the function and it's gradient (partial derivatives in each direction) and approximates the Hessian
Parameters
Vector initialGuess

An initial guess

Func<Vector<double>, double> functionValue

Evaluates the function at a point

Func<Vector<double>, Vector<double>> functionGradient

Evaluates the gradient of the function at a point

Return
Vector<T>

The minimum found