www.gusucode.com > SAE RBM 程序MATLAB源码代码实现的一个关于sae的例子 > minFunc/dampedUpdate.m
function [old_dirs,old_stps,Hdiag,Bcompact] = lbfgsUpdate(y,s,corrections,debug,old_dirs,old_stps,Hdiag) %B0 = eye(length(y))/Hdiag; S = old_dirs(:,2:end); Y = old_stps(:,2:end); k = size(Y,2); L = zeros(k); for j = 1:k for i = j+1:k L(i,j) = S(:,i)'*Y(:,j); end end D = diag(diag(S'*Y)); N = [S/Hdiag Y]; M = [S'*S/Hdiag L;L' -D]; ys = y'*s; Bs = s/Hdiag - N*(M\(N'*s)); % Product B*s sBs = s'*Bs; eta = .02; if ys < eta*sBs if debug fprintf('Damped Update\n'); end theta = min(max(0,((1-eta)*sBs)/(sBs - ys)),1); y = theta*y + (1-theta)*Bs; end numCorrections = size(old_dirs,2); if numCorrections < corrections % Full Update old_dirs(:,numCorrections+1) = s; old_stps(:,numCorrections+1) = y; else % Limited-Memory Update old_dirs = [old_dirs(:,2:corrections) s]; old_stps = [old_stps(:,2:corrections) y]; end % Update scale of initial Hessian approximation Hdiag = (y'*s)/(y'*y);