DFP update

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This is a way to update an approximation of an inverse Hessian, used for unconstrained optimization. Using the notation in the DFP method, the update is:

LaTeX: H' = H + \frac{pp^T}{p^Tq} - \frac{H q q^T H}{q^T H q}.

Note: LaTeX: \textstyle pp^T is a rank 1 matrix (the outer product of the vector LaTeX: p with itself).

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