Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Use modified Cholesky decomposition instead of regularized Cholesky #41

Open
jiahao opened this issue Aug 7, 2023 · 0 comments
Open

Comments

@jiahao
Copy link

jiahao commented Aug 7, 2023

Hello, I just wanted to point out that the problem you are trying to avoid with regularization of indefinite Hessians has been encountered in the numerical analysis and optimization literature, and the class of algorithms goes by the name modified Cholesky, with cost $O(n^2)$ which is asymptotically irrelevant.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

1 participant