Sparsity exploitation in optimization

Question

SandeepKumar R 2019-3-5

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https://ww2.mathworks.cn/matlabcentral/answers/448429-sparsity-exploitation-in-optimization

评论： Alan Weiss 2019-3-6

采纳的回答： SandeepKumar R

Does the fmincon algorithm exploit sparsity of hessians and jacobians while solving optimization problem ?

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Answer 1

SandeepKumar R 2019-3-6

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https://ww2.mathworks.cn/matlabcentral/answers/448429-sparsity-exploitation-in-optimization#answer_364108

A follow up question. Do they automatically detect sparsiy and switch to Large scale mode (sparsity exploited) or do we specifically have to supply some information to use this funtionality ?

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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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Answer 2

Alan Weiss 2019-3-6

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https://ww2.mathworks.cn/matlabcentral/answers/448429-sparsity-exploitation-in-optimization#answer_364081

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