3
Vote

Hessian

description

Not sure whether I will really need this at some point, but was just wondering whether this is something that might be added in the future to the library? I am mainly opening this issue so that people can vote on this.

comments

alexshtf wrote Oct 29, 2011 at 1:27 PM

It is possible to add Hessian computation.
Personally, I found quasi-newton methods that use only the gradient (BFGS, L-BFGS) to be satisfactory. But if there is demand, it can be met.

alexshtf wrote May 29, 2012 at 6:56 AM

Scheduled for the next release in the form of "Hessian-Vector computation". The library will be able, given a vector v, to compute H*v where H is the hessian.

This design will allow the library to use the sparsity of the function, without directly computing the Hessian matrix itself. It will also allow me to add a utility method to extract the Hessian directly by multiplying by the standard basis vectors (setting v = (1, 0, ... 0), then v = (0, 1, 0, ..., 0) and so on).

davidacoder wrote May 29, 2012 at 4:56 PM

Sounds good!

brantheman wrote Aug 14, 2013 at 6:37 PM

I'm not up on my understanding of "Hessian". Does that refer to the second derivative? I would like to use AutoDiff to help me implement the Interior Point method. See http://www.princeton.edu/~rvdb/542/lectures/lec23.pdf