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trustOptim - Trust Region Optimization for Nonlinear Functions with Sparse Hessians
Trust region algorithm for nonlinear optimization. Efficient when the Hessian of the objective function is sparse (i.e., relatively few nonzero cross-partial derivatives). See Braun, M. (2014) <doi:10.18637/jss.v060.i04>.
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cpp
6.47 score 5 stars 4 dependents 22 scripts 1.1k downloadssparseMVN - Multivariate Normal Functions for Sparse Covariance and Precision Matrices
Computes multivariate normal (MVN) densities, and samples from MVN distributions, when the covariance or precision matrix is sparse.
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6.24 score 3 stars 10 dependents 39 scripts 684 downloads