Slightly simplified checks in computing gradient and Hessian for optimizer = 5.
parent
13ea1c0046
commit
7fb471e9cc
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@ -27,7 +27,8 @@ n=size(x,1);
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if init,
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gstep_ = options_.gstep;
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h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4);
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% h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4);
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h1=options_.gradient_epsilon*ones(n,1);
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return
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end
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if nargin<4,
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@ -71,7 +72,8 @@ while i<n,
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icount = 0;
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h0=h1(i);
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while (abs(dx(it))<0.5*htol | abs(dx(it))>(2*htol)) & icount<10 & ic==0,
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% while (abs(dx(it))<0.5*htol | abs(dx(it))>(2*htol)) & icount<10 & ic==0,
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while (abs(dx(it))<0.5*htol) & icount<10 & ic==0,
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%while abs(dx(it))<0.5*htol & icount< 10 & ic==0,
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icount=icount+1;
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if abs(dx(it)) ~= 0,
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@ -86,10 +88,10 @@ while i<n,
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% ic=1;
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% end
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end
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if abs(dx(it))>(2*htol),
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h1(i)= htol/abs(dx(it))*h1(i);
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xh1(i)=x(i)+h1(i);
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end
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% if abs(dx(it))>(2*htol),
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% h1(i)= htol/abs(dx(it))*h1(i);
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% xh1(i)=x(i)+h1(i);
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% end
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try
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fx = feval(func,xh1,varargin{:});
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catch
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@ -50,7 +50,8 @@ if init,
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htol = 1.e-4;
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%h1=max(abs(x),gstep_*ones(n,1))*eps^(1/3);
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%h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/6);
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h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4);
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% h1=max(abs(x),sqrt(gstep_)*ones(n,1))*eps^(1/4);
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h1=options_.gradient_epsilon*ones(n,1);
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return,
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end
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func = str2func(func);
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@ -102,7 +103,8 @@ while i<n,
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icount = 0;
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h0=h1(i);
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while (abs(dx(it))<0.5*htol | abs(dx(it))>(2*htol)) & icount<10 & ic==0,
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% while (abs(dx(it))<0.5*htol | abs(dx(it))>(2*htol)) & icount<10 & ic==0,
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while (abs(dx(it))<0.5*htol) & icount<10 & ic==0,
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%while abs(dx(it))<0.5*htol & icount< 10 & ic==0,
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icount=icount+1;
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%if abs(dx(it)) ~= 0,
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@ -127,21 +129,21 @@ while i<n,
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fx=1.e8;
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end
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end
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if abs(dx(it))>(2*htol),
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h1(i)= htol/abs(dx(it))*h1(i);
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xh1(i)=x(i)+h1(i);
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try
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[fx, ffx]=feval(func,xh1,varargin{:});
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catch
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fx=1.e8;
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end
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while (fx-f0)==0,
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h1(i)= h1(i)*2;
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xh1(i)=x(i)+h1(i);
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[fx, ffx]=feval(func,xh1,varargin{:});
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ic=1;
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end
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end
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% if abs(dx(it))>(2*htol),
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% h1(i)= htol/abs(dx(it))*h1(i);
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% xh1(i)=x(i)+h1(i);
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% try
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% [fx, ffx]=feval(func,xh1,varargin{:});
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% catch
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% fx=1.e8;
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% end
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% while (fx-f0)==0,
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% h1(i)= h1(i)*2;
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% xh1(i)=x(i)+h1(i);
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% [fx, ffx]=feval(func,xh1,varargin{:});
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% ic=1;
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% end
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% end
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it=it+1;
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dx(it)=(fx-f0);
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h0(it)=h1(i);
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@ -171,7 +173,7 @@ while i<n,
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else
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ff1=ffx;
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end
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if hflag, % two point based derivatives
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% if hflag, % two point based derivatives
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xh1(i)=x(i)-h1(i);
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% c=mr_nlincon(xh1,varargin{:});
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% ic=0;
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@ -193,9 +195,9 @@ while i<n,
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% [f1(:,i), ff1]=feval(func,xh1,varargin{:});
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% end
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ggh(:,i)=(ff1-ff_1)./(2.*h1(i));
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else
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ggh(:,i)=(ff1-ff0)./h1(i);
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end
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% else
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% ggh(:,i)=(ff1-ff0)./h1(i);
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% end
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xh1(i)=x(i);
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if hcheck & htol<1,
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htol=min(1,max(min(abs(dx))*2,htol*10));
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@ -209,11 +211,11 @@ h_1=h1;
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xh1=x;
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xh_1=xh1;
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if hflag,
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% if hflag,
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gg=(f1'-f_1')./(2.*h1);
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else
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gg=(f1'-f0)./h1;
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end
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% else
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% gg=(f1'-f0)./h1;
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% end
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if hflag==2,
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gg=(f1'-f_1')./(2.*h1);
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@ -82,6 +82,7 @@ else
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hhg=hh;
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igg=inv(hh);
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end
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H = igg;
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disp(['Gradient norm ',num2str(norm(gg))])
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ee=eig(hh);
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disp(['Minimum Hessian eigenvalue ',num2str(min(ee))])
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@ -105,7 +106,7 @@ while norm(gg)>gtol & check==0 & jit<nit,
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bayestopt_.penalty = fval0(icount);
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disp([' '])
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disp(['Iteration ',num2str(icount)])
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[fval x0 fc retcode] = csminit(func0,xparam1,fval0(icount),gg,0,igg,varargin{:});
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[fval x0 fc retcode] = csminit(func0,xparam1,fval0(icount),gg,0,H,varargin{:});
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if igrad,
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[fval1 x01 fc retcode1] = csminit(func0,x0,fval,gg,0,inx,varargin{:});
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if (fval-fval1)>1, %(fval0(icount)-fval),
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@ -116,7 +117,7 @@ while norm(gg)>gtol & check==0 & jit<nit,
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fval=fval1;
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x0=x01;
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end
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if (fval0(icount)-fval)<1.e-2*(gg'*(igg*gg))/2 & igibbs,
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if (fval0(icount)-fval)<1.e-2*(gg'*(H*gg))/2 & igibbs,
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if length(find(ig))<nx,
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ggx=ggx*0;
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ggx(find(ig))=gg(find(ig));
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@ -126,6 +127,9 @@ while norm(gg)>gtol & check==0 & jit<nit,
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[fvala x0 fc retcode] = csminit(func0,x0,fval,ggx,0,iggx,varargin{:});
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end
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[fvala, x0, ig] = mr_gstep(0,x0,func0,htol,varargin{:});
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% if length(find(ig))==0,
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% [fvala, x0, ig] = mr_gstep(0,x0,func0,htol/10,varargin{:});
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% end
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nig=[nig ig];
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if (fval-fvala)<gibbstol*(fval0(icount)-fval),
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igibbs=0;
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@ -160,6 +164,8 @@ while norm(gg)>gtol & check==0 & jit<nit,
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x(:,icount+1)=xparam1;
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fval0(icount+1)=fval;
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%if (fval0(icount)-fval)<ftol*ftol & flagg==1;,
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mr_gstep(1,x);
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mr_hessian(1,x);
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if (fval0(icount)-fval)<ftol,
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disp('No further improvement is possible!')
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check=1;
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@ -228,6 +234,7 @@ while norm(gg)>gtol & check==0 & jit<nit,
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end
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end
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end
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disp(['Gradient norm ',num2str(norm(gg))])
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ee=eig(hh);
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disp(['Minimum Hessian eigenvalue ',num2str(min(ee))])
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@ -237,7 +244,9 @@ while norm(gg)>gtol & check==0 & jit<nit,
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disp(['Elapsed time for iteration ',num2str(t),' s.'])
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g(:,icount+1)=gg;
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save m1.mat x hh g hhg igg fval0 nig
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% H = bfgsi(H,g(:,end)-g(:,end-1),x(:,end)-x(:,end-1));
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H = igg;
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save m1.mat x hh g hhg igg fval0 nig H
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end
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end
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