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Topic: Non-linear optimization
Replies: 32   Last Post: Mar 8, 2013 2:22 AM

 Messages: [ Previous | Next ]
 Bruno Luong Posts: 9,822 Registered: 7/26/08
Re: Non-linear optimization
Posted: Mar 7, 2013 5:52 PM

"Matt J" wrote in message <khb4uc\$55k\$1@newscl01ah.mathworks.com>...

>
> I don't see how that can be. For non-convex functions and non-posdef Hessians, an empirically chosen lambda could easily leave H+lambda*I singular, or at least, not positive definite and therefore non-descending. You would have to choose lambda>=min(eig(H)) to be sure that didn't happen, and that would require an eigen-analysis of H.

The strategy and rules to chose lambda is given by LM algorithm. You can check the textbook that explains all the details.

Again all that is well known.

Bruno

Date Subject Author
3/4/13 Toan Cao
3/4/13 Steven Lord
3/4/13 Toan Cao
3/5/13 Steven Lord
3/5/13 Toan Cao
3/6/13 Matt J
3/6/13 Matt J
3/6/13 Toan Cao
3/6/13 Matt J
3/4/13 Matt J
3/4/13 Toan Cao
3/5/13 Matt J
3/5/13 Bruno Luong
3/6/13 Matt J
3/6/13 Bruno Luong
3/6/13 Matt J
3/6/13 Bruno Luong
3/6/13 Matt J
3/6/13 Bruno Luong
3/6/13 Matt J
3/7/13 Bruno Luong
3/7/13 Matt J
3/7/13 Bruno Luong
3/7/13 Matt J
3/7/13 Bruno Luong
3/7/13 Matt J
3/7/13 Bruno Luong
3/8/13 Matt J
3/8/13 Bruno Luong
3/7/13 Toan Cao
3/7/13 Matt J
3/7/13 Toan Cao
3/7/13 Matt J