mxComputeHessianQuality: Compute the quality of the Hessian
Description
Tests whether the Hessian is positive definite
(model$output$infoDefinite) and, if so, computes the approximate condition
number (model$output$conditionNumber). See Luenberger & Ye (2008)
Second Order Test (p. 190) and Condition Number (p. 239).
Not used. Forces remaining arguments to be specified by name.
verbose
Level of debugging output.
Details
The condition number is approximated by $\mathrm{norm}(H) *
\mathrm{norm}(H^{-1})$ where H is the
Hessian. The norm is either the 1- or infinity-norm (both obtain
the same result due to symmetry).
References
Luenberger, D. G. & Ye, Y. (2008). Linear and nonlinear programming. Springer.