| sparseHessianFD-package {sparseHessianFD} | R Documentation |
Estimate sparse Hessians using finite differences of gradients.
Description
Estimate sparse Hessians using finite differences of gradients.
Details
The Hessian is returned as a sparse Matrix (dgCMatrix-class). The user supplies the objective function, the gradient, and the row and column indices of the non-zero elements of the lower triangle of the Hessian (i.e., the sparsity structure must be known in advance).
In a typical case, you should only need to use the sparseHessianFD initializer, and the fn, gr and hessian methods of the sparseHessian class, and the Matrix.to.Coord utility function.
References
Braun, Michael. 2017. sparseHessianFD: An R Package for Estimating Sparse Hessian Matrices. Journal of Statistical Software 82 (10): 1-22.
Coleman, Thomas F, and Jin-Yi Cai. 1986. The Cyclic Coloring Problem and Estimation of Sparse Hessian Matrices. SIAM Journal on Algebraic Discrete Methods 7 (2): 221-235
Coleman, Thomas F, Burton S Garbow, and Jorge J More. 1985. Software for Estimating Sparse Hessian Matrices. ACM Transaction on Mathematical Software 11 (4) (December): 363-377.
Coleman, Thomas F and Jorge J More. 1984. Estimation of Sparse Hessian Matrices and Graph Coloring Problems. Mathematical Programming 28 (3) (October): 243-270
Powell, M J D and Ph L Toint. 1979. On the Estimation of Sparse Hessian Matrices. SIAM Journal on Numerical Analysis 16 (6) (December): 1060-1074.