When I set opts.DerivativeCheck='on' in fmincon, it checks only the gradient. How do I tell it to check the Hessian as well?
EDIT: My options
opts = optimset(); opts.MaxIter = 1e4; opts.MaxFunEvals = 1e6; opts.TolFun = 1e-4; opts.Algorithm = 'interior-point'; % 'trust-region-reflective'
opts.GradObj = 'on'; opts.GradConstr = 'on'; opts.DerivativeCheck = 'on'; opts.Diagnostics = 'on'; opts.Display = 'iter'; %opts.Display = 'none';
opts.FinDiffType = 'central'; if 1 opts.HessMult = fH; opts.Hessian = 'user-supplied'; %opts.Hessian = 'fin-diff-grads';
opts.SubproblemAlgorithm = 'cg'; else opts.Hessian = 'lbfgs'; end
Best Answer