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Teaching Numerical Gradients and Hessians

version 1.1 (4.53 KB) by

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

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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.

Comments and Ratings (3)

Oleg Komarov

Oleg Komarov (view profile)

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.

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?

Pi Ting

valuable!

Updates

1.1

Updated license to include my full name.

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