Is there a Hessian-free optimization algorithm?

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Shahab 2016-5-24

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回答： Mary Fenelon 2016-5-27

I need to do some constrained optimization work on a function which is actually a Simulink model involving hundreds of variables. Each function evaluation takes about 6 or 7 seconds. So, lowering the number of function evaluations is critical to me.

I've looked into the available algorithms with fmincon (interior-point, sqp, active-set, trust-region-reflective) and they all require Hessian calculation.

Is there any algorithm available in MATLAB that can optimize the function via only function or gradient evaluation? (and does not require the time-consuming Hessian calculation)

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Answer 1

Sean de Wolski 2016-5-24

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编辑：Sean de Wolski 2016-5-24

在 MATLAB Online 中打开

In the Global Optimization Toolbox:

doc patternsearch

perhaps

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Answer 2

Mary Fenelon 2016-5-27

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If your functions are smooth, a gradient-based solver such as fmincon may take fewer function evaluation overall. Some of its algorithms do not calculate the Hessian using finite differences but use an approximation to the Hessian; see more here . You might also want to review the docs on choosing an appropriate step size when optimizing a simulation to help decide between a gradient-based solver and patternsearch but it's hard to predict so if possible give them both a try.