How to provide Hessian

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Floris Zoutman
Floris Zoutman 2013 年 2 月 11 日
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?

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回答 (1 件)

Shashank Prasanna
Shashank Prasanna 2013 年 2 月 11 日
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.

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