Compute the inverse approximate Hessian of the majorization using the Woodbury inversion formula.
wood_inv_solve
computes the inverse of the Hessian term of the majorization of the proximity function
using the Woodbury formula. The function mmqn_step
invokes wood_inv_solve
instead of ddg if the argument
woodbury=TRUE
. This should be used when p << n.
1 | wood_inv_solve(x, v, w, hgrad, df)
|
x |
non-anchor point |
v |
weights for first set of constraints |
w |
weights for second set of constraints |
hgrad |
Handle for output mapping Jacobian |
df |
Right hand side |
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