GSL.hpp File Reference

#include <memory>
#include <ccgsl/exception.hpp>
#include <ccgsl/vector.hpp>
#include <ccgsl/matrix.hpp>
#include <ccgsl/rng.hpp>
#include <ccgsl/linalg.hpp>

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Namespaces
	ipo
	This namespace holds all the interior-point optimisation classes.
	ipo::detail
	Namespace for classes that handle details of interior-point optimisation that are not ordinarily accessed directly to set up and solve a convex optimisation problem.

Functions
std::tuple< gsl::matrix, double >	ipo::detail::modifiedCholeskyDecomp (gsl::matrix const &matrix, double maxoffl)
	Modified in-place Cholesky decomposition using the method of Gill, Murray and Wright (1981) to deal with cases where matrix is not positive definite. More...
gsl::matrix	ipo::detail::modelHessian (gsl::matrix &matrix)
	Find a Cholesky decomposition (both upper and lower triangles returned in matrix) of a matrix + mu * I, where matrix is a Hessian (assumed symmetric) matrix and mu is chosen to ensure that matrix + mu * I is safely poitive definite and is zero if matrix is already safely positive definite. More...