Obtain Hessian matrix in Multistart optimization function
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I am using MultiStart function for optimization (using local solver "fmincon"). I need to have the MATLAB-calculated hessian matrix at the optimum value in my output files, but can't find a way to do that. Does anyone have done that before or can figure out how to do it?!
回答（1 个）
Matt J
2012-10-2
Call with more output arguments
[x,fval,exitflag,output,lambda,grad,hessian] = fmincon(...)
3 个评论
Ibehma01
2012-10-2
Matt J
2012-10-2
Once you've found the solution using multistart, you could run one additional iteration of FMINCON by calling it directly (using options.MaxIter=1) and starting from the known solution as the initial point. When you call FMINCON, you can call it with additional arguments, as I described.
Alexander Andreychenko
2016-3-14
Sometimes that does not work for me. What I do instead, I use the corresponding initial X0 (that gave the best result for MultiStart) and run fmincon from there. I get this 'best' X0 from the 'solutions' structure coming from 'run' method of MultiStart.
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2016-3-14
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