R/hgprod.R

In rHanso: An R Implementation of Hybrid Algorithm for Non-Smooth Optimization (HANSO)

hgprod <- function(H0, g, S, Y) {
    N = length(S[1, ])
    q = g
    if (N > 0) {
        for (i in seq(N, 1, by = -1)) {
            s = S[, i]
            y = Y[, i]
            rho[i] = 1/(t(s) %*% y)
            alpha[i] = rho[i] * (t(s) %*% q)
            q = q - alpha[i] * y
        }
    }
    r = H0 %*% q
    if (N > 0) {
        for (i in 1:N) {
            s = S[, i]
            y = Y[, i]
            beta = rho[i] * (t(y) %*% r)
            r = r + (alpha[i] - beta) * s
        }
    }
    return(r)
}