[Octave-bug-tracker] [bug #57113] fminunc return wrong Hessian matrix

[Giuseppe]

Follow-up Comment #5, bug #57113 (project octave):

Hi all, this is an example of how fminsearch diverges. 

Using Octave


x0 =

   2.1686e+07   3.2452e+06

fminsearch(@(x) loglik_LEVD(x, M_max), x0)
Exceeded target...quitting
ans =

  -5.6748e+07  -7.4920e+04


whilst, using MATLAB

x0 =

   2.1686e+07   3.2452e+06

fminsearch(@(x) loglik_LEVD(x, M_max), x0)
ans =

   2.0179e+07   2.5534e+06


loglik_LEVD is just the function that have to be minimised in order to get the
parameter of the LEVD (Gumbel) distribution



[comment #3 comment #3:]
> Matlab online gets the hessian right if x0 is sufficiently large (otherwise
the Hessian is NaN(2)):
> 
> [x, fval, info, output, grad, hess] = fminunc (@(x) sum (x.^2), 10*ones
(2,1))
> 
> hess = 
> [2.0000    0.0000
>  0.0000    2.0000]
> 
> 
> I'm not an expert in numerical mathematics. But maybe there is something we
can do to at least come closer to Matlab's results?
> 
> The Hessian returned by Octave seems to strongly depend on x0.
> 
> Please, close again if you think what we have is good enough.
> 
> @Giuseppe: Can you please file another bug report if you have an example for
which fminsearch diverges?

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