Description Usage Arguments Author(s) Examples
Compute numerical derivatives using forward/backword difference, central difference, or Richardson extropolation.
1 2 | numerical_deriv(par, f, ..., delta = 1e-05, gradient = TRUE,
type = "forward")
|
par |
a vector of parameters |
f |
the objective function being evaluated |
... |
additional arguments to be passed to |
delta |
the term used to perturb the |
gradient |
logical; compute the gradient terms? If FALSE then the Hessian is computed instead |
type |
type of difference to compute. Can be either |
Phil Chalmers rphilip.chalmers@gmail.com
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 | ## Not run:
f <- function(x) 3*x[1]^3 - 4*x[2]^2
par <- c(3,8)
# grad = 9 * x^2 , -8 * y
(actual <- c(9 * par[1]^2, -8 * par[2]))
numerical_deriv(par, f, type = 'forward')
numerical_deriv(par, f, type = 'central')
numerical_deriv(par, f, type = 'Richardson')
# hessian = h11 -> 18 * x, h22 -> -8, h12 -> h21 -> 0
(actual <- matrix(c(18 * par[1], 0, 0, -8), 2, 2))
numerical_deriv(par, f, type = 'forward', gradient = FALSE)
numerical_deriv(par, f, type = 'central', gradient = FALSE)
numerical_deriv(par, f, type = 'Richardson', gradient = FALSE)
## End(Not run)
|
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