- All Implemented Interfaces:
- Enclosing class:
public static class NonLinearConjugateGradientOptimizer.IdentityPreconditioner
- extends Object
- implements Preconditioner
Default identity preconditioner.
Precondition a search direction.
|Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
public double precondition(double variables,
- Precondition a search direction.
The returned preconditioned search direction must be computed fast or
the algorithm performances will drop drastically. A classical approach
is to compute only the diagonal elements of the hessian and to divide
the raw search direction by these elements if they are all positive.
If at least one of them is negative, it is safer to return a clone of
the raw search direction as if the hessian was the identity matrix. The
rationale for this simplified choice is that a negative diagonal element
means the current point is far from the optimum and preconditioning will
not be efficient anyway in this case.
- Specified by:
precondition in interface
variables - current point at which the search direction was computed
r - raw search direction (i.e. opposite of the gradient)
- approximation of H-1r where H is the objective function hessian
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