[R] Hessian matrix

[Ravi Varadhan]

The function "hessian" in the "numDeriv" package can be useful.  It is based
on Richardson extrapolation, and although it involves more computational
effort (depending on the order of the extrapolation), it will provide highly
accurate values.  

Ravi.

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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Prof Brian Ripley
Sent: Wednesday, November 01, 2006 3:13 AM
To: Arun Kumar Saha
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] Hessian matrix

?deriv  can do so algebraically for some functions.

There are various packages which can do so via finite differences, e.g.
fdHess() in nlme and hessian() in numDeriv.

On Wed, 1 Nov 2006, Arun Kumar Saha wrote:

> Dear all R users,
>
> Is there any way to calculate hessian matrix of a given function at any
> given point?
>
> Regards
>
> 	[[alternative HTML version deleted]]
>
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Please do: no HTML mail as requested.


-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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