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

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Bruno Luong

Posts: 8,785
Registered: 7/26/08
Re: Non-linear optimization
Posted: Mar 7, 2013 5:52 PM
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"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



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