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From: Manish on 12 Apr 2010 13:12
Hi,

I am estimating mle using fmincon. I want to compute the hessian matrix. Please help me how to get that.

Manish
From: Alan Weiss on 12 Apr 2010 14:50
On 4/12/2010 1:12 PM, Manish wrote:
> Hi,
>
> I am estimating mle using fmincon. I want to compute the hessian matrix.
> Please help me how to get that.
> Manish

I am afraid that fmincon does not help you estimate the Hessian matrix
very well. For more information, see
http://www.mathworks.com/access/helpdesk/help/toolbox/optim/ug/bsapd3i.html#bsapedt

To compute the Hessian, use a finite difference procedure, or consult
the File Exchange:
http://www.mathworks.com/matlabcentral/fileexchange/13490-automatic-numerical-differentiation

Alan Weiss
MATLAB mathematical toolbox documentation
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