hessian_approx: Numerical approximation of hessian matrix.
In feng-li/flutils: Feng Li's utility functions

Description Usage Arguments Details Value Note Author(s) References

Numerical approximation of hessian matrix

1	hessian_approx(gradient, method)

`gradient`	"matrix". p-by-q, the gradient vector/matrix.
`method`	"character". Method to be used in the approximation. Possible value may be "outer" for outer product of gradient.

Approximation of hessian matrix by using different methods. The gradient should be always a *matrix*. Current method is "outer" for outer product. If the gradient is not an one-column matrix, it will convert it to an one-column matrix.

"matrix". pq-by-pq hessian matrix.

First version: Tue Mar 30 16:33:23 CEST 2010. Current: Wed Sep 15 09:45:16 CEST 2010.

Feng Li, Dept. of Statistics, Stockholm University, Sweden.

Villani et al (2009); Li et al(2010a, b); Train, K. 2003, Discrete choice methods with simulation(2ed), Cambridge Univ. Press. p. 193.

feng-li/flutils documentation built on Oct. 1, 2020, 9:09 p.m.