ReducedNewtonOptimizer

class ReducedNewtonOptimizer : public NewtonOptimizer

Subclassed by ReducedPartRegularizedNewtonOptimizer

Public Functions

virtual double ComputeObjFunc(const Vector &alpha, const Vector &sol, const VectorVector &moments) override

Computes the objective function grad = <eta(alpha*m)> - alpha*sol.

virtual void ComputeHessian(const Vector &alpha, const VectorVector &moments, Matrix &hessian) override

Computes hessian of objective function and stores it in hessian grad = <mXm*eta*’(alpha*m)>

virtual void ReconstructMoments(Vector &sol, const Vector &alpha, const VectorVector &moments) override

Reconstruct the moment sol from the Lagrange multiplier alpha.

Parameters:

• sol – moment vector

• alpha – Lagrange multipliers

• moments – Moment basis

Protected Functions

virtual void ComputeGradient(const Vector &alpha, const Vector &sol, const VectorVector &moments, Vector &grad) override

Computes gradient of objective function and stores it in grad grad = <m*eta*’(alpha*m)> - sol.