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subroutine hessupd( nn, mupd, dd, jmin, jmax, xdiff, lphprint ) |
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c ================================================================== |
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c SUBROUTINE hessupd |
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c ================================================================== |
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c |
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c o controls update of descent vector using available |
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c approximation of Hessian Matrix based on gradients of |
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c previous iterations |
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c |
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c o Reference: J.C. Gilbert & C. Lemarechal |
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c Some numerical experiments with variable-storage |
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c quasi-Newton algorithms |
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c Mathematical Programming 45 (1989), pp. 407-435 |
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c |
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c o started: ??? not reproducible |
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c |
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c o changed: Patrick Heimbach, MIT/EAPS |
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c 24-Feb-2000: |
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c - changed some variable names to be consistent |
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c with routine lsoptv, lsline; |
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c |
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c o Version: 2.1.0, 02-Mar-2000: Patrick Heimbach, MIT/EAPS |
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c |
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c ================================================================== |
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c SUBROUTINE hessupd |
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c ================================================================== |
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implicit none |
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#include "blas1.h" |
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c------------------------------------ |
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c declare arguments |
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c------------------------------------ |
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integer nn, mupd, jmin, jmax |
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double precision dd(nn), alpha(100), xdiff(nn) |
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logical lphprint |
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c------------------------------------ |
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c declare local variables |
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c------------------------------------ |
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external DDOT |
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double precision DDOT |
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integer jfin, i, j, jp |
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double precision r |
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c------------------------------------ |
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c initialization |
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c------------------------------------ |
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jfin = jmax |
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if (lphprint) |
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& print *, 'pathei-lsopt: in hessupd; ', |
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& 'jmin, jmax, mupd:', jmin, jmax, mupd |
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if (jfin.lt.jmin) jfin = jmax+mupd |
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c------------------------------------ |
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c compute right hand side |
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c------------------------------------ |
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do j = jfin,jmin,-1 |
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if (lphprint) |
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& print *, 'pathei-lsopt: in hessupd; loop ', |
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& 'j,jfin,jmin = ', j,jfin,jmin |
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jp = j |
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if (jp.gt.mupd) jp = jp-mupd |
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C xdiff is control difference (x(i+1)-x(i)) from previous iterations. |
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call dostore( nn, xdiff, .false., 2*jp+3 ) |
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r = DDOT( nn, dd, 1, xdiff,1 ) |
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C xdiff now is gradient difference from previous iterations. |
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call dostore( nn, xdiff, .false., 2*jp+2 ) |
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alpha(jp) = r |
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do i = 1, nn |
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dd(i) = dd(i) - r*xdiff(i) |
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end do |
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end do |
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c------------------------------------ |
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c multiply precondition matrix |
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c------------------------------------ |
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if (mupd .ne. 0) then |
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call dostore( nn, xdiff, .false., 3 ) |
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do i = 1, nn |
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dd(i) = dd(i)*xdiff(i) |
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end do |
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end if |
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c------------------------------------ |
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c compute left hand side |
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c------------------------------------ |
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do j = jmin,jfin |
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jp = j |
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if (jp .gt. mupd) jp = jp-mupd |
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call dostore( nn, xdiff, .false., 2*jp+2 ) |
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r = alpha(jp) - DDOT( nn, dd,1 , xdiff, 1 ) |
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call dostore( nn, xdiff, .false., 2*jp+3 ) |
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do i = 1, nn |
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dd(i) = dd(i) + r*xdiff(i) |
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end do |
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end do |
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return |
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end |
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