cdh

CDH − CUTEr tool to evaluate the Hessian of the Lagrangian.

CALL CDH( N, M, X, LV, V, LH1, H )

The CDH subroutine evaluates the Hessian matrix of the Lagrangian function for the problem decoded into OUTSDIF.d at the point X, and possibly its gradient in the constrained minimization case. The matrix is stored as a dense matrix.

By convention, the signs of the Lagrange multipliers V are set so the Lagrangian function can be written as L(X, V) = f(X) + < c(X), V >.

The arguments of CDH are as follows

N [in] - integer

the number of variables for the problem,

M [in] - integer

the total number of general constraints,

X [in] - real/double precision

an array which gives the current estimate of the solution of the problem,

LV [in] - integer

the actual declared dimension of V,

V [in] - real/double precision

an array which gives the Lagrange multipliers,

LH1 [in] - integer

the actual declared size of the leading dimension of H (with LH1 no smaller than N),

H [out] - real/double precision

a two-dimensional array which gives the value of the Hessian matrix of the Lagrangian function evaluated at X and V.

I. Bongartz, A.R. Conn, N.I.M. Gould, D. Orban and Ph.L. Toint

CUTEr (and SifDec): A Constrained and Unconstrained Testing Environment, revisited, N.I.M. Gould, D. Orban and Ph.L. Toint, ACM TOMS, 29:4, pp.373-394, 2003.

CUTE: Constrained and Unconstrained Testing Environment, I. Bongartz, A.R. Conn, N.I.M. Gould and Ph.L. Toint, TOMS, 21:1, pp.123-160, 1995.