Supplying gradient for the subset of parameters
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Hi, I would like to ask if it is possible to supply analytical gradient for some parameters when optimising, using let's say fmincon. Support pages as well as documentation provide examples where user specifies analytical gradient for every parameter over which some function is optimised. In my problem, it is likely that analytical gradients are easy just for some parameters, therefore, I would like to help the optimisation by including this information and then rely on optimisation toolboxes to compute gradients for other parameters.
I may have a simple questions but I could not find the answer to.
Appreciate your help
Alan Weiss on 11 Aug 2022
The short answer is no: there is no provision to provide analytic gradients for a subset of the parameters. I cannot think of a workaround, either.
MATLAB mathematical toolbox documentation
More Answers (1)
Bruno Luong on 11 Aug 2022
May be you could provide the gradient interface for all, but compute the subset derivative analytically and the complement by finite difference, providing you know ho to chose the step size (which might not be trivial).