Hessian is the second order derivative of a scalar function. It is relatively difficult using finite difference to get accurate Hessian due to the approximation error if the differentiation step is too large and cancellation between two large values if the differentiation step is too small. Taking the advantage of complex step differentiation, this code is able to provide the Hessian of a scalar function much more accurate than other finite difference approaches.
Yi Cao (2021). Complex step Hessian (https://www.mathworks.com/matlabcentral/fileexchange/18177-complex-step-hessian), MATLAB Central File Exchange. Retrieved .
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