Sparsity exploitation in optimization
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Does the fmincon algorithm exploit sparsity of hessians and jacobians while solving optimization problem ?
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SandeepKumar R
2019-3-6
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Alan Weiss
2019-3-6
Generally, the large-scale algorithms do the conversion to sparse linear algebra internally, and the medium-scale algorthms do the conversion to full linear algebra internally. I tried to state this in the link I gave ("Furthermore, you do not need to specify any sparse matrices to use a large-scale algorithm.").
Alan Weiss
MATLAB mathematical toolbox documentation
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Alan Weiss
2019-3-6
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There are several fmincon algorithms, and they each exploit sparsity differently. The term "large-scale" means that an algorithm exploits sparsity, as explained in Large-Scale vs. Medium-Scale Algorithms. A brief outline of the fmincon algorithms is given here, including which algorithms are large-scale.
Alan Weiss
MATLAB mathematical toolbox documentation
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