Obtain Hessian matrix in Multistart optimization function

I am using MultiStart function for optimization (using local solver "fmincon"). I need to have the MATLAB-calculated hessian matrix at the optimum value in my output files, but can't find a way to do that. Does anyone have done that before or can figure out how to do it?!

Answer 1

[Matt J]

Call with more output arguments

[x,fval,exitflag,output,lambda,grad,hessian] = fmincon(...)

[Ibehma01]

I am not directly using fmincon. I am using multistart. Multistart doesn't have hessian as output. I mentioned fmincon because I use that as a local solver for multistart.

[Matt J]

Once you've found the solution using multistart, you could run one additional iteration of FMINCON by calling it directly (using options.MaxIter=1) and starting from the known solution as the initial point. When you call FMINCON, you can call it with additional arguments, as I described.

[Alexander Andreychenko]

Sometimes that does not work for me. What I do instead, I use the corresponding initial X0 (that gave the best result for MultiStart) and run fmincon from there. I get this 'best' X0 from the 'solutions' structure coming from 'run' method of MultiStart.