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Broyden-Fletcher-Goldfarb-Shanno (BFGS) Hessian update strategy.
Parameters
----------
exception_strategy : {'skip_update', 'damp_update'}, optional
Define how to proceed when the curvature condition is violated.
Set it to 'skip_update' to just skip the update. Or, alternatively,
set it to 'damp_update' to interpolate between the actual BFGS
result and the unmodified matrix. Both exceptions strategies
are explained in [1]_, p.536-537.
min_curvature : float
This number, scaled by a normalization factor, defines the
minimum curvature ``dot(delta_grad, delta_x)`` allowed to go
unaffected by the exception strategy. By default is equal to
1e-8 when ``exception_strategy = 'skip_update'`` and equal
to 0.2 when ``exception_strategy = 'damp_update'``.
init_scale : {float, 'auto'}
Matrix scale at first iteration. At the first
iteration the Hessian matrix or its inverse will be initialized
with ``init_scale*np.eye(n)``, where ``n`` is the problem dimension.
Set it to 'auto' in order to use an automatic heuristic for choosing
the initial scale. The heuristic is described in [1]_, p.143.
By default uses 'auto'.
Notes
-----
The update is based on the description in [1]_, p.140.
References
----------
.. [1] Nocedal, Jorge, and Stephen J. Wright. "Numerical optimization"
Second Edition (2006).
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