[R] getting variable length numerical gradient

[Antonio, Fabio Di Narzo]

Tnx very much Dimitris,
your code does what I need. I've just adapted it to my needs (e.g., I
don't deal with scalar functions), and so solved my problem.

Given this, is there a way to use the deriv function in the base
package, within this context (variable length vector of indipendent
variables)?

Best,
Antonio, Fabio Di Narzo.

On 9/25/05, Dimitris Rizopoulos <dimitris.rizopoulos at med.kuleuven.be> wrote:
> maybe you can find the following function useful (any comments are
> greatly appreciated):
>
> fd <- function(x, f, scalar = TRUE, ..., eps =
> sqrt(.Machine$double.neg.eps)){
>     f <- match.fun(f)
>     out <- if(scalar){
>         if(length(f0 <- f(x, ...)) != length(x))
>             stop("'f' must be vectorized")
>         x. <- x + eps * pmax(abs(x), 1)
>         c(f(x., ...) - f0) / (x. - x)
>     } else{
>         n <- length(x)
>         res <- array(0, c(n, n))
>         f0 <- f(x, ...)
>         ex <- pmax(abs(x), 1)
>         for(i in 1:n){
>             x. <- x
>             x.[i] <- x[i] + eps * ex[i]
>             res[, i] <- c(f(x., ...) - f0) / (x.[i] - x[i])
>         }
>         res
>     }
>     out
> }
>
>
> ## Examples
>
> x <- seq(-3.3, 3.3, 0.1)
> all.equal(fd(x, pnorm, mean = 0.5), dnorm(x, mean = 0.5))
>
>
> # Approximate the Hessian matrix for a logistic regression
>
> # the score vector function
> gn <- function(b, y, X){
>     p <- as.vector(plogis(X %*% b))
>     -colSums(X * (y - p))
> }
>
> # We simulate some data and fit the logistic regression
> n <- 800
> x1 <- runif(n,-3, 3); x2 <- runif(n, -3, 3)
> pr <- plogis(0.8 + 0.4 * x1 - 0.3 * x2)
> y <- rbinom(n, 1, pr)
> fm <- glm(y ~ x1 + x2, binomial)
>
> ## The Hessian using forward difference approximation
> fd(fm$coef, gn, scalar = FALSE, y = y, X = cbind(1, x1, x2))
>
> ## The true Hessian
> solve(summary(fm)$cov.unscaled)
>
>
> I hope it helps.
>
> Best,
> Dimitris
>
> ----
> Dimitris Rizopoulos
> Ph.D. Student
> Biostatistical Centre
> School of Public Health
> Catholic University of Leuven
>
> Address: Kapucijnenvoer 35, Leuven, Belgium
> Tel: +32/(0)16/336899
> Fax: +32/(0)16/337015
> Web: http://www.med.kuleuven.be/biostat/
>      http://www.student.kuleuven.be/~m0390867/dimitris.htm
>
>
> ----- Original Message -----
> From: "Antonio, Fabio Di Narzo" <antonio.fabio at gmail.com>
> To: <R-help at stat.math.ethz.ch>
> Sent: Sunday, September 25, 2005 11:37 AM
> Subject: [R] getting variable length numerical gradient
>
>
> > Hi all.
> > I have a numerical function f(x), with x being a vector of generic
> > size (say k=4), and I wanna take the numerically computed gradient,
> > using deriv or numericDeriv (or something else).
> >
> > My difficulties here are that in deriv and numericDeric the function
> > is passed as an expression, and one have to pass the list of
> > variables
> > involved as a char vector... So, it's a pure R programming question.
> >
> >
> > Have a nice sunday,
> > Antonio, Fabio Di Narzo.
> >
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