Rank-two correction

From Glossary

Jump to: navigation, search

This is an update to an approximation of a matrix, notably to the hessian inverse, by adding a matrix of rank 2 to it. This generally takes the form of two rank-one updates: LaTeX: \textstyle H^T = H + vv^T + uu^T, where LaTeX: v and LaTeX: u are linearly independent column vectors (so LaTeX: \textstyle [vv^T + uu^T] is a rank 2 matrix).

Personal tools