subst: Estimate sparse Hessian

In braunm/sparseHessianFD: Numerical Estimation of Sparse Hessians

Estimate sparse Hessian

Description

Estimate Hessian using triangular subsitution algorithm

Usage

subst(Y, colors, jCol, ipntr, delta, nvars, nnz)

Arguments

Y	Matrix of finite differences of gradients
colors	Vector of length nvars that identifies color of each variable
jCol, ipntr	Column indices and row pointers for non-zero elements of lower triangle of Hessian (row-oriented compressed format).
delta	Perturbation factor used to compute finite differences of gradients.
nvars	Dimension of Hessian (number of variables)
nnz	Number of non-zero elements in the lower triangle of the Hessian.

Details

For internal use. You should not have to call this function directly.

Value

A sparse Hessian of class dgCMatrix.

braunm/sparseHessianFD documentation built on Oct. 26, 2022, 1:49 a.m.