Compute the hessian matrix numerically
in [Matlab]
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From: Gerrit Reher on 24 Feb 2010 02:48 Hello, I have an optimization problem. I make a ML estimation and the best solver for my problem is fminsearch. How do I get the hessian matrix for my solution? Is there a m-file or a command that could help me Thanks
From: Matt J on 24 Feb 2010 03:43
"Gerrit Reher" <05gere(a)wiwi.uni-muenster.de> wrote in message <hm2ljl$68f$1(a)fred.mathworks.com>... > Hello, > > I have an optimization problem. I make a ML estimation and the best solver for my problem is fminsearch. How do I get the hessian matrix for my solution? Is there a m-file or a command that could help me ================= It's hard to imagine that fminsearch is the "best" solver considering that it uses an algorithm that is usually non-convergent. If you're just interested in evaluating derivatives at what it spits out, however, this might be useful: http://www.mathworks.com/matlabcentral/fileexchange/13490-automatic-numerical-differentiation |