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Sparsity exploitation in optimization

Asked by SandeepKumar R on 5 Mar 2019
Latest activity Commented on by Alan Weiss
on 6 Mar 2019
Does the fmincon algorithm exploit sparsity of hessians and jacobians while solving optimization problem ?

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2 Answers

Answer by SandeepKumar R on 6 Mar 2019
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A follow up question. Do they automatically detect sparsiy and switch to Large scale mode (sparsity exploited) or do we specifically have to supply some information to use this funtionality ?

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Generally, the large-scale algorithms do the conversion to sparse linear algebra internally, and the medium-scale algorthms do the conversion to full linear algebra internally. I tried to state this in the link I gave ("Furthermore, you do not need to specify any sparse matrices to use a large-scale algorithm.").
Alan Weiss
MATLAB mathematical toolbox documentation

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Answer by Alan Weiss
on 6 Mar 2019

There are several fmincon algorithms, and they each exploit sparsity differently. The term "large-scale" means that an algorithm exploits sparsity, as explained in Large-Scale vs. Medium-Scale Algorithms. A brief outline of the fmincon algorithms is given here, including which algorithms are large-scale.
Alan Weiss
MATLAB mathematical toolbox documentation

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