Adaptive Robust Numerical Differentiation
27 Dec 2006
01 Jun 2011)
Numerical derivative of an analytically supplied function, also gradient, Jacobian & Hessian
function [HD,err,finaldelta] = hessdiag(fun,x0)
% HESSDIAG: diagonal elements of the Hessian matrix (vector of second partials)
% usage: [HD,err,finaldelta] = hessdiag(fun,x0)
% When all that you want are the diagonal elements of the hessian
% matrix, it will be more efficient to call HESSDIAG than HESSIAN.
% HESSDIAG uses DERIVEST to provide both second derivative estimates
% and error estimates. fun needs not be vectorized.
% arguments: (input)
% fun - SCALAR analytical function to differentiate.
% fun must be a function of the vector or array x0.
% x0 - vector location at which to differentiate fun
% If x0 is an nxm array, then fun is assumed to be
% a function of n*m variables.
% arguments: (output)
% HD - vector of second partial derivatives of fun.
% These are the diagonal elements of the Hessian
% matrix, evaluated at x0.
% HD will be a row vector of length numel(x0).
% err - vector of error estimates corresponding to
% each second partial derivative in HD.
% finaldelta - vector of final step sizes chosen for
% each second partial derivative.
% Example usage:
% [HD,err] = hessdiag(@(x) x(1) + x(2)^2 + x(3)^3,[1 2 3])
% HD =
% 0 2 18
% err =
% 0 0 0
% See also: derivest, gradient, gradest
% Author: John D'Errico
% e-mail: email@example.com
% Release: 1.0
% Release date: 2/9/2007
% get the size of x0 so we can reshape
sx = size(x0);
% total number of derivatives we will need to take
nx = numel(x0);
HD = zeros(1,nx);
err = HD;
finaldelta = HD;
for ind = 1:nx
[HD(ind),err(ind),finaldelta(ind)] = derivest( ...
@(xi) fun(swapelement(x0,ind,xi)), ...
end % mainline function end
function vec = swapelement(vec,ind,val)
% swaps val as element ind, into the vector vec
vec(ind) = val;
end % sub-function end