forum.alglib.net

I noticed that since version 4.01 the functions of the lsfit subpackage that allows to use Hessian are no longer there.
I can't find anymore lsfitcreatefgh and lsfitcreatewfgh functions аnd also overload of the function lsfitfit that takes Hessian calculation delegate as a parameter.

I've read the release announcements carefully and also looked at some of the tickets on the issue tracker but found no explanation for the removal of these function in the new version.
Could you please explain the reasoning of such a decision?

Hi!

Sorry for the delay in replying. The reason is that we switched to a new optimization-related communication protocol that can do nice tricks like parallel numerical differentiation, but has difficulty supporting Hessians. We were also under impression that this part of ALGLIB was almost unused, because almost anyone who contacted us used gradient/Jacobian-based optimizers.

Finally, I feel that Hessian-based optimization should not be a part of LSFIT solver, it is a legacy of questionable decision made when developing the very first versions of ALGLIB.

Sorry for any inconvenience caused by this backward-incompatible change.

Sergey

Thank you for the comprehensive answer