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1 Functions To Calculate Numerical Derivatives and Hessian Matrix

This document provides examples of using functions in the numDeriv package to calculate numerical derivatives, Jacobians, and Hessians. It shows how to calculate the gradient and Hessian of various functions, as well as generating derivative matrices using genD.

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Num
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20 views

1 Functions To Calculate Numerical Derivatives and Hessian Matrix

This document provides examples of using functions in the numDeriv package to calculate numerical derivatives, Jacobians, and Hessians. It shows how to calculate the gradient and Hessian of various functions, as well as generating derivative matrices using genD.

Uploaded by

Num
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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1 Functions to calculate Numerical Derivatives

and Hessian Matrix


In R, the functions in this package are made available with

> library("numDeriv")
>

The code from the vignette that generates this guide can be loaded into an
editor with edit(vignette(”Guide”, package=”numDeriv”)). This uses the default
editor, which can be changed using options().
Here are some examples of grad.

> grad(sin, pi)


> grad(sin, (0:10)*2*pi/10)
> func0 <- function(x){ sum(sin(x)) }
> grad(func0 , (0:10)*2*pi/10)
> func1 <- function(x){ sin(10*x) - exp(-x) }
> curve(func1,from=0,to=5)
> x <- 2.04
> numd1 <- grad(func1, x)
> exact <- 10*cos(10*x) + exp(-x)
> c(numd1, exact, (numd1 - exact)/exact)
> x <- c(1:10)
> numd1 <- grad(func1, x)
> exact <- 10*cos(10*x) + exp(-x)
> cbind(numd1, exact, (numd1 - exact)/exact)

Here are some examples of jacobian.

> func2 <- function(x) c(sin(x), cos(x))


> x <- (0:1)*2*pi
> jacobian(func2, x)

Here are some examples of hessian.

> x <- 0.25 * pi


> hessian(sin, x)
> fun1e <- function(x) sum(exp(2*x))
> x <- c(1, 3, 5)
> hessian(fun1e, x, method.args=list(d=0.01))

Here are some examples of genD.

> func <- function(x){c(x[1], x[1], x[2]^2)}


> z <- genD(func, c(2,2,5))
> z

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