approximate hessian

Using generalized simplex methods to approximate derivatives

  • Gabriel Jarry-Bolduc
    • Categories Nonlinear Optimization Tags , ,

    This paper presents two methods for approximating a proper subset of the entries of a Hessian using only function evaluations. These approximations are obtained using the techniques called generalized simplex Hessian and generalized centered simplex Hessian. We show how to choose the matrices of directions involved in the computation of these two techniques depending on … Read more

    On an Approximation of the Hessian of the Lagrangian

  • Florian Jarre
    • Categories Constrained Nonlinear Optimization, Optimization Software Design Principles Tags , ,

    In the context of SQP methods or, more recently, of sequential semidefinite programming methods, it is common practice to construct a positive semidefinite approximation of the Hessian of the Lagrangian. The Hessian of the augmented Lagrangian is a suitable approximation as it maintains local superlinear convergence under appropriate assumptions. In this note we give a … Read more