UseParallel for hessian?
3 views (last 30 days)
Show older comments
Will Matlab at some point support parallel computation of the finite difference Hessian? More specifically, I've been using UseParallel in my fminunc settings (which have a lot of parameters), but computing the Hessian takes a fair amount of time.
4 Comments
Walter Roberson
on 2 Oct 2022
the option description is "When true, fminunc estimates gradients in parallel." but that is gradients not hessian
Answers (1)
Matt J
on 2 Oct 2022
Edited: Matt J
on 2 Oct 2022
I don't speak for MathWorks, but I think the issue is that finite difference Hessians are only relevant to the trust-region algorithm, since the quasi-newton algorithm does not use Hessian computations. But in the trust-region algorithm, the user is required to provide an analytical gradient computation via SpecifyObjectiveGradient=true. It seems a rather narrow use case that an analytical gradient calculation would be tractable, but not an analytical Hessian computation, assuming the memory footprint of such a matrix is not prohibitive. If the memory footprint of the Hessian is prohibitive, the user is meant to be use the HessianMultiplyFcn or HessPattern options.
10 Comments
Bruno Luong
on 4 Oct 2022
And furthermore the Hessian returned by minimization algorithms are usuallt NOT suitable to compute error standard deviations.
See Also
Products
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!