UseParallel for hessian?
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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 comentarios
Walter Roberson
el 2 de Oct. de 2022
the option description is "When true, fminunc estimates gradients in parallel." but that is gradients not hessian
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Matt J
el 2 de Oct. de 2022
Editada: Matt J
el 2 de Oct. de 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 comentarios
Bruno Luong
el 4 de Oct. de 2022
And furthermore the Hessian returned by minimization algorithms are usuallt NOT suitable to compute error standard deviations.
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