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To have a complete understanding of what are auxiliary and Hessian phonons please read these papers in detail: https://iopscience.iop.org/article/10.1088/1361-648X/ac066b/meta and https://journals.aps.org/prb/abstract/10.1103/PhysRevB.96.014111 .

However, in short, you can think of auxiliary phonons as the first correction to the harmonic phonons, while Hessian would be a second-order correction. One problem is that auxiliary phonons are always positive so they can not tell you anything about the dynamical stability of the system. If you want to see whether your system is dynamically stable (which is usually why one calculates phonons) you need to calculate free energy Hessian phonons.

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