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.
Matt J on 2 Oct 2022
Edited: Matt J on 2 Oct 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.