sparseHessianFD: Numerical Estimation of Sparse Hessians

Estimates Hessian of a scalar-valued function, and returns it in a sparse Matrix format. The sparsity pattern must be known in advance. The algorithm is especially efficient for hierarchical models with a large number of heterogeneous units. See Braun, M. (2017) <doi:10.18637/jss.v082.i10>.

Package details

AuthorMichael Braun [aut, cre, cph]
MaintainerMichael Braun <[email protected]>
LicenseMPL (== 2.0)
Package repositoryView on CRAN
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sparseHessianFD documentation built on May 2, 2019, 8:16 a.m.