www.pudn.com > starter.zip > dampedUpdate.m, change:2011-01-04,size:995b


function [old_dirs,old_stps,Hdiag,Bcompact] = lbfgsUpdate(y,s,corrections,debug,old_dirs,old_stps,Hdiag) 
 
%B0 = eye(length(y))/Hdiag; 
S = old_dirs(:,2:end); 
Y = old_stps(:,2:end); 
k = size(Y,2); 
L = zeros(k); 
for j = 1:k 
    for i = j+1:k 
        L(i,j) = S(:,i)'*Y(:,j); 
    end 
end 
D = diag(diag(S'*Y)); 
N = [S/Hdiag Y]; 
M = [S'*S/Hdiag L;L' -D]; 
 
ys = y'*s; 
Bs = s/Hdiag - N*(M\(N'*s)); % Product B*s 
sBs = s'*Bs; 
 
eta = .02; 
if ys < eta*sBs 
    if debug 
        fprintf('Damped Update\n'); 
    end 
    theta = min(max(0,((1-eta)*sBs)/(sBs - ys)),1); 
    y = theta*y + (1-theta)*Bs; 
end 
 
 
numCorrections = size(old_dirs,2); 
if numCorrections < corrections 
    % Full Update 
    old_dirs(:,numCorrections+1) = s; 
    old_stps(:,numCorrections+1) = y; 
else 
    % Limited-Memory Update 
    old_dirs = [old_dirs(:,2:corrections) s]; 
    old_stps = [old_stps(:,2:corrections) y]; 
end 
 
% Update scale of initial Hessian approximation 
Hdiag = (y'*s)/(y'*y);