
Re: Nonlinear 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 nonconvex functions and nonposdef Hessians, an empirically chosen lambda could easily leave H+lambda*I singular, or at least, not positive definite and therefore nondescending. You would have to choose lambda>=min(eig(H)) to be sure that didn't happen, and that would require an eigenanalysis 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

