bfgs_update.hpp

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#ifndef STAN__OPTIMIZATION__BFGS_UPDATE_HPP
#define STAN__OPTIMIZATION__BFGS_UPDATE_HPP

#include <stan/math/matrix/Eigen.hpp>

namespace stan {
  namespace optimization {
    template<typename Scalar = double,
             int DimAtCompile = Eigen::Dynamic>
    class BFGSUpdate_HInv {
    public:
      typedef Eigen::Matrix<Scalar,DimAtCompile,1> VectorT;
      typedef Eigen::Matrix<Scalar,DimAtCompile,DimAtCompile> HessianT;

      inline Scalar update(const VectorT &yk, const VectorT &sk,
                           bool reset = false) {
        Scalar rhok, skyk, B0fact;
        HessianT Hupd;

        skyk = yk.dot(sk);
        rhok = 1.0/skyk;

        Hupd.noalias() = HessianT::Identity(yk.size(),yk.size()) 
                                        - rhok*sk*yk.transpose();
        if (reset) {
          B0fact = yk.squaredNorm()/skyk;
          _Hk.noalias() = ((1.0/B0fact)*Hupd)*Hupd.transpose();
        }
        else {
          B0fact = 1.0;
          _Hk = Hupd*_Hk*Hupd.transpose();
        }
        _Hk.noalias() += rhok*sk*sk.transpose();
        return B0fact;
      }

      inline void search_direction(VectorT &pk, const VectorT &gk) const {
        pk.noalias() = -(_Hk*gk);
      }

    private:
      HessianT _Hk;
    };
  }
}

#endif