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m = 200;
Of course, you should try out your code with diﬀerent dimensions, and diﬀerent data as well.
In all cases, be sure that your line search ﬁrst ﬁnds a step length for which the tentative point is
in dom f ; if you attempt to evaluate f outside its domain, you’ll get complex numbers, and you’ll
To ﬁnd expressions for ∇f (x) and ∇2 f (x), use the chain rule (see Appendix A.4); if you attempt
to compute ∂ 2 f (x)/∂xi ∂xj , you will be sorry.
To compute the Newton step, you can use vnt=-H\g.
8.4 Suggestions for exercise 9.31 in Convex Optimization. For 9.31a, you should try out N = 1,
N = 15, and N = 30. You might as well compute and store the Cholesky factorization of the
Hessian, and then back solve to get the search directions, even though you won’t really see any
speedup in Matlab for such a small problem. After you evaluate the Hessian, you can ﬁnd the
Cholesky factorization as L=chol(H,’lower’). You can then compute a search step as -L’\(L\g),
where g is the gradient at the curre...
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- Fall '13
- The Aeneid