Based on the fmincon documentation, fmincon has a number of ways of handling the Hessian, depending on the algorithm. In many cases it uses a quasi-Newton approximation to the Hessian. I suspect that's what you're seeing.
-- Ray Zimmerman Senior Research Associate 211 Warren Hall, Cornell University, Ithaca, NY 14853 phone: (607) 255-9645 On Mar 30, 2011, at 3:46 PM, m d wrote: > Hello all, > > I've faced with an interesting question and appreciate if anyone can answer! > > When I use "mips" as an optimization solver to solve one of those simple > optimization problems with constraint in t-mips.m, I get a hessian of the > lagrangian by calling " Lxx" . The hessian provided in Lxx is closely matched > with that I compute the problem by hand. However, when I use "fmincon" to > solve the same problem as following: > > [x,fval,exitflag,output,lambda,grad,hessian] = fmincon(...) > > and compare its hessian with Lxx, I observe a huge diffence, though the > optimal answers for x and objective function are the same. > > Can anyone answer why? What is the algorithm used in fmincon to compute the > hessian? > > Thanks in advance for your reply, > Maryam
