# Efficient solution of fmincg without providing gradient?

I'm working on multiclass logistic regression model with a large number of features (numFeatures > 100). Using a Maximum Likelihood Estimation based on the cost function and gradient, the fmincg algorithm solves the problem quickly. However, I'm also experimenting with a different cost function and do not have a gradient.

Is there a good way to speed up the calculation process? E.g., is there a different algorithm or fmincg setting that I can use?

• What is this algorithm fmincg? Please, add some references to such algorithm in your question. – Rubens Jun 21 '14 at 6:51
• What is your alternate cost function? The optimal optimization algorithm depends on it :) – nimish Jun 22 '14 at 12:03

fminsearch implements Nelder-Mead, a nonlinear gradient-free method. Its convergence properties are not anywhere near as good.