bfgs_hessian Subroutine

public subroutine bfgs_hessian(old_step, gradient, old_gradient, old_inv_hessian, inv_hessian)

Broyden-Fletcher-Goldfarb-Shanno (BFGS) method to approximate the inverse hessian by previous step and this step gradient and previous step gradient, and previous estimated hessian

Arguments

Type	Intent	Optional	Attributes		Name
real(kind=long),	intent(in)			::	old_step(:)
real(kind=long),	intent(in)			::	gradient(:)
real(kind=long),	intent(in)			::	old_gradient(:)
real(kind=long),	intent(in)			::	old_inv_hessian(:,:)
real(kind=long),	intent(out)			::	inv_hessian(size(old_inv_hessian,1),size(old_inv_hessian,1))