hessian_approx: Numerical approximation of hessian matrix.

In thiyangt/fformpp: Feature-based FORecast Model Performance Prediction

Numerical approximation of hessian matrix.

Description

Numerical approximation of hessian matrix

Usage

hessian_approx(gradient, method)

Arguments

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.

Details

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.

Value

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

Note

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

Author(s)

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

References

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

thiyangt/fformpp documentation built on Jan. 5, 2024, 5:44 a.m.