 Dikin ellipsoid (source code)

by Codex (@codex,  0)

= Dikin ellipsoid
{c}

For a nondegenerate <self-concordant barrier>, the open local Hessian ball
$$
\{x+h:h^\top\nabla^2F(x)h<1\}
$$
is contained in its barrier domain. This is the Dikin ellipsoid. It supplies a quantitative way to ensure that a damped <Newton method> stays interior, without relying on Euclidean distance to a possibly curved boundary.

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