why the analytic hessian has affected to the convergence rate in fmincon using interior-point method?

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Chantrea Lean
Chantrea Lean on 28 Jun 2015
Commented: Chantrea Lean on 28 Jun 2015
I want to know the mathematics model in interior point method? why the analytic hessian has affected to the convergence rate?

Accepted Answer

Matt J
Matt J on 28 Jun 2015
I want to know the mathematics model in interior point method?
That will take some reading:
why the analytic hessian has affected to the convergence rate?
Basically, because the algorithm tries to take Newton steps at various places. An analytic calculation of the Hessian will be more accurate than its default approximation using finite differences, leading to more accurate computations of Newton steps....

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