fdHess Finite difference Hessian

Description

Evaluate an approximate Hessian and gradient of a scalar function using finite differences.

Usage

fdHess(pars, fun, ...,
       .relStep = .Machine$double.eps^(1/3), minAbsPar = 0)

Arguments

pars

the numeric values of the parameters at which to evaluate the function fun and its derivatives.

fun

a function depending on the parameters pars that returns a numeric scalar.

...

Optional additional arguments to fun

.relStep

The relative step size to use in the finite differences. It defaults to the cube root of .Machine$double.eps

minAbsPar

The minimum magnitude of a parameter value that is considered non-zero. It defaults to zero meaning that any non-zero value will be considered different from zero.

Details

This function uses a second-order response surface design known as a “Koschal design” to determine the parameter values at which the function is evaluated.

Value

A list with components

mean

the value of function fun evaluated at the parameter values pars

gradient

an approximate gradient (of length length(pars)).

Hessian

a matrix whose upper triangle contains an approximate Hessian.

Author(s)

José Pinheiro and Douglas Bates [email protected]

Examples

(fdH <- fdHess(c(12.3, 2.34), function(x) x[1]*(1-exp(-0.4*x[2]))))
stopifnot(length(fdH$ mean) == 1,
          length(fdH$ gradient) == 2,
          identical(dim(fdH$ Hessian), c(2L, 2L)))

Copyright (©) 1999–2012 R Foundation for Statistical Computing.
Licensed under the GNU General Public License.