How to provide Hessian

I have an optimization problem with non-linear objective and linear constraints. The Hessian is diagonal and very easy to calculate analytically. How do I pass this information to the interior-point algorithm in fmincon?

Answer 1

[Shashank Prasanna]

http://www.mathworks.com/help/optim/ug/fmincon.html#f186882

http://www.mathworks.com/help/optim/ug/constrained-nonlinear-optimization-examples.html#bri8026

You should find this information and example in the above links. You can pass the Hessian analytical function as a function handle.