How to supply Hessian for interior-point in fmincon in the objective function and not a separate function

Hi,

I have a problem that includes some basic calculations that are actually very complex and they are needed in calculations of objective function, gradient and Hessian. The first two (objective and gradient) can be described in one function but for the third one although all my constraints are linear equalities or inequalities (so I don't need lmbda in Hessian calculation) there is no way to include Hessian function in objective function related MATLAB function.

So, I am wondering if there is a way to save those calculation time by some means and I don't need to recalculate those complex stuff for Hessian again, as they are already calulated in objective function even if there is a way to have some other outputs from objective function it would be good.

Thanks in advance.

Answer 1

[Torsten]

I didn't think until the end, but maybe this procedure also helps in your case:

https://uk.mathworks.com/help/optim/ug/objective-and-nonlinear-constraints-in-the-same-function.html

[Matt J]

Yes, you need to nest the objective function and the HessianMultiplyFcn within a parent function. This will allow them to share variables through the parent.