Evaluate Derivatives Numerically

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Description

numericDeriv numerically evaluates the gradient of an expression.

Usage

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numericDeriv(expr, theta, rho = parent.frame(), dir = 1.0)

Arguments

expr

The expression to be differentiated. The value of this expression should be a numeric vector.

theta

A character vector of names of numeric variables used in expr.

rho

An environment containing all the variables needed to evaluate expr.

dir

A numeric vector of directions to use for the finite differences.

Details

This is a front end to the C function numeric_deriv, which is described in Writing R Extensions.

The numeric variables must be of type real and not integer.

Value

The value of eval(expr, envir = rho) plus a matrix attribute called gradient. The columns of this matrix are the derivatives of the value with respect to the variables listed in theta.

Author(s)

Saikat DebRoy saikat@stat.wisc.edu

Examples

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myenv <- new.env()
assign("mean", 0., envir = myenv)
assign("sd", 1., envir = myenv)
assign("x", seq(-3., 3., len = 31), envir = myenv)
numericDeriv(quote(pnorm(x, mean, sd)), c("mean", "sd"), myenv)

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