nl.grad {nloptr}

Numerical Gradients and Jacobians

Description

Provides numerical gradients and Jacobians.

Usage

nl.grad(x0, fn, heps = .Machine$double.eps^(1/3), ...)

Arguments

x0

point as a vector where the gradient is to be calculated.

fn

scalar function of one or several variables.

heps

step size to be used.

...

additional arguments passed to the function.

Details

Both functions apply the “central difference formula” with step size as recommended in the literature.

Value

grad returns the gradient as a vector; jacobian returns the Jacobian as a matrix of usual dimensions.

Author(s)

Hans W. Borchers

Examples

  fn1 <- function(x) sum(x ^ 2)
  nl.grad(seq(0, 1, by = 0.2), fn1)
  ## [1] 0.0  0.4  0.8  1.2  1.6  2.0
  nl.grad(rep(1, 5), fn1)
  ## [1] 2  2  2  2  2

  fn2 <- function(x) c(sin(x), cos(x))
  x <- (0:1) * 2 * pi
  nl.jacobian(x, fn2)
  ##    [,1] [,2]
  ## [1,]  1  0
  ## [2,]  0  1
  ## [3,]  0  0
  ## [4,]  0  0