how to supply a cost function gradient based on some of optimisation paramters

Dears,

My optimization problem is too big, and I must provide a gradient to accelerate the optimization procedure. Some of my optimization parameters are not derivative, at least directly. Would you please tell me if there is a way to supply a gradient based on some optimization parameters and use the finite difference for others that can not be derivated directly?

Answer 1

[Torsten]

Would you please tell me if there is a way to supply a gradient based on some optimization parameters and use the finite difference for others that can not be derivated directly?

If you can supply the complete gradient with respect to the optimization variables, you can "mix" the two methods. The solver doesn't care about how you get the partial derivatives.