R/sparseHessianFD.R

In sparseHessianFD: Numerical Estimation of Sparse Hessians

#' @name sparseHessianFD-package
#' @aliases sparseHessianFD-package
#' @docType package
#' @title Estimate sparse Hessians using finite differences of
#' gradients.
#' @description Estimate sparse Hessians using finite differences of
#' gradients.
#' @details The Hessian is returned as a sparse Matrix
#' (dgCMatrix-class).  The user supplies the
#' objective function, the gradient, and the row and column indices of
#' the non-zero elements of the lower triangle of the Hessian (i.e.,
#' the sparsity structure must be known in advance).
#'
#' In a typical case, you should only need to use the
#' \link{sparseHessianFD} initializer,
#' and the fn, gr and hessian methods of the sparseHessian class, and the
#' \link{Matrix.to.Coord} utility function.
#'
#' @references
#' Braun, Michael. 2017. sparseHessianFD: An R Package for Estimating
#' Sparse Hessian Matrices.  Journal of Statistical Software 82 (10): 1-22.
#'
#' Coleman, Thomas F, and Jin-Yi Cai. 1986.  The Cyclic Coloring Problem
#' and Estimation of Sparse Hessian Matrices.  SIAM Journal on Algebraic
#' Discrete Methods 7 (2): 221-235
#'
#' Coleman, Thomas F, Burton S Garbow, and Jorge J More. 1985. Software
#' for Estimating Sparse Hessian Matrices. ACM Transaction on
#' Mathematical Software 11 (4) (December): 363-377.
#'
#' Coleman, Thomas F and Jorge J More. 1984. Estimation of Sparse Hessian
#' Matrices and Graph Coloring Problems.  Mathematical Programming
#' 28 (3) (October): 243-270
#'
#' Powell, M J D and Ph L Toint. 1979. On the Estimation of Sparse
#' Hessian Matrices.  SIAM Journal on Numerical Analysis 16 (6)
#' (December): 1060-1074.
#'
#' @keywords package
#'
#' @useDynLib sparseHessianFD, .registration=TRUE
#' @importFrom Rcpp evalCpp
#' @import methods
#' @import Matrix
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