Interior-point-optimisation  1.0-1
Interior-pointoptimisationlibrary
GSL.hpp
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1 /*
2  * $Id: GSL.hpp 105 2013-06-02 15:46:43Z jdl3 $
3  * Copyright (C) 2013 John D Lamb
4  *
5  * This program is free software; you can redistribute it and/or modify
6  * it under the terms of the GNU General Public License as published by
7  * the Free Software Foundation; either version 2 of the License, or (at
8  * your option) any later version.
9  *
10  * This program is distributed in the hope that it will be useful, but
11  * WITHOUT ANY WARRANTY; without even the implied warranty of
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15  * You should have received a copy of the GNU General Public License
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17  * Foundation, Inc., 675 Mass Ave, Cambridge, MA 02139, USA.
18  */
19 
20 #ifndef GSL_HPP
21 #define GSL_HPP
22 
23 #include<memory>
24 #include<ccgsl/exception.hpp>
25 #include<ccgsl/vector.hpp>
26 #include<ccgsl/matrix.hpp>
27 #include<ccgsl/rng.hpp>
28 #include<ccgsl/linalg.hpp>
29 
30 namespace ipo {
31  namespace detail {
44  std::tuple<gsl::matrix,double>
45  modifiedCholeskyDecomp( gsl::matrix const& matrix, double maxoffl );
58  gsl::matrix modelHessian( gsl::matrix& matrix );
59  }
60 }
61 
62 #endif
gsl::matrix modelHessian(gsl::matrix &matrix)
Find a Cholesky decomposition (both upper and lower triangles returned in matrix) of a matrix + mu * ...
Definition: GSL.cc:102
std::tuple< gsl::matrix, double > modifiedCholeskyDecomp(gsl::matrix const &matrix, double maxoffl)
Modified in-place Cholesky decomposition using the method of Gill, Murray and Wright (1981) to deal w...
Definition: GSL.cc:29
This namespace holds all the interior-point optimisation classes.
Definition: Array.hpp:28