Why does fmincon not provide hessian option for sqp algorithm?

8 views (last 30 days)
I know the hessian option is available for solvers such as the interior-point method. Also, providing a hessian is generally a faster (and more accurate) way to solve a problem than computing it via finite differences. Why then this choice?

Accepted Answer

Matt J
Matt J on 12 Apr 2021
Edited: Matt J on 12 Apr 2021
The SQP algorithm does not compute the Hessian via finite differences. It does, however, require a positive definite approximation of the Hessian (of the Lagrangian) and has some special steps to obtain that. If SQP permitted the user to supply a pre-calculated Hessian matrix, the matrix would need to be analyzed by the code and modified somehow to ensure positive definiteness.

More Answers (0)




Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by