returning inverse Hessian from FindMinimum
- To: mathgroup at smc.vnet.net
- Subject: [mg87950] returning inverse Hessian from FindMinimum
- From: samelfors at gmail.com
- Date: Mon, 21 Apr 2008 03:24:43 -0400 (EDT)
I am using Method -> "QuasiNewton" with FindMinimum. I specify the Gradient but not the Hessian. Can I have FindMinimum return the inverse Hessian it has accumulated when it completes its optimization? The implementation notes indicated BFGS is used for QuasiNewton. I would like to use the inverse Hessian to get an idea of how stable the fitted parameters are around the minimum. I would also like to use it to fudge together the minima from running FindMinimum[] in batch across several machines using the parallel computing toolkit. I don't think this is possible or desirable - I'm just messing around. I looked through the docs and the source for Optimization`UnconstrainedProblems` and didn't find anything, well, other than some good programming pointers. Any suggestions or general guidance would be cool. Cheers, Sam