Re: What is the best approach - 'sqp' or 'fsolve' ?

[Jaroslav Hajek]

On Thu, Jan 28, 2010 at 12:27 PM, Guido Walter Pettinari
<address@hidden> wrote:
> Hello world!
>
> I want to minimise the function f ( x ) with respect to the parameters 
> contained in "x".
> I was wondering which of the following approach is better/faster/more 
> accurate:
>
> 1) use the "sqp" optimisation routine, providing gradient + Hessian of f(x);
>
> 2) use the "fsolve" routine to solve the system:
> gradient(f) = 0,
> providing the Jacobian.
>
> Thank you for your attention.
>

In most cases, definitely the first. By treating the gradient as
independent residuals, you ignore the structure of the problem.
You may also consider trying fminunc (esp. if using tip Octave), but
that currently can't work with user hessians.

-- 
RNDr. Jaroslav Hajek, PhD
computing expert & GNU Octave developer
Aeronautical Research and Test Institute (VZLU)
Prague, Czech Republic
url: www.highegg.matfyz.cz