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Teaching Numerical Gradients and Hessians

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14 Feb 2011 (Updated )

Simple, well-commented Matlab code to demonstrate how to take numerical derivatives and Hessians.

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Description

This submission is a set of m-files to demonstrate how to take a simple numerical derivative and Hessian of an arbitrary function. Each step in the code is documented. There is a test script included which computes the numerical Hessian of a test function and compares it to a symbolically-determined result (with a numerical point substituted into the symbolic Hessian). The gradient and Hessian functions support varying tolerance, and also counting the number of function evaluations in order to give a sense of just how expensive numerical derivatives can be.

The test script requires the Symbolic Math Toolbox.

Required Products Symbolic Math Toolbox
MATLAB release MATLAB 7.11 (R2010b)
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Comments and Ratings (3)
19 Aug 2012 Oleg Komarov

I like this submission but as Leo pointed out an illustrative script would complete the submission.

Also, I would use in that case an anonymous function.

14 Aug 2012 Leo Simon

Thanks for this! It *looks* like there should be a script somewhere that calls each of the various functions, but there isn't one in the download zip. Was there meant to be?

15 Feb 2011 Pi Ting

valuableļ¼

Updates
14 Aug 2012

Updated license to include my full name.

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