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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
7.15 score 6 stars 9 dependents 23 scripts 1.9k 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.
Last updated
6.06 score 3 stars 8 dependents 32 scripts 667 downloads