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From: Samuel Edwards on 28 Jul 2010 14:50
"Matt J " <mattjacREMOVE(a)THISieee.spam> wrote in message <i2o5ds$bd6$1(a)fred.mathworks.com>...
> "Samuel Edwards" <DJeter1234(a)AOL.com> wrote in message <i2no52$3oi$1(a)fred.mathworks.com>...
>
> > Doesn't fmincon approximate the Hessian automatically? How would I approximate it better? I do not have the actual gradient to the problem, and it is impossible to solve analytically.
> ==================
>
> If your problem is poorly scaled, fmincon's numerical Hessian approximations might not be very accurate. If they were accurate, there shouldn't be much of a scaling problem, except in regions of the function where the Hessian is not strictly positive definite.
>
> Why is the function so hard to differentiate?

It's a numerical assessment of an 2-d integral defined over 2 regions, where the bounds of the second region are zeros of a function that 1) has a discontinuous derivative and 2) has has a standard normal cumulative density and probability density term involving the coefficients.
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