[ADMB Users] how to calculate the hessian matrix by autodif library
dave fournier
davef at otter-rsch.com
Mon Oct 11 09:13:15 PDT 2010
I made a little example to compare the fmm Hessian with the finite
difference Hessian.
Note that since the example is quadratic the finite difference hessian
is exact.
#include <admodel.h>
dmatrix fmm::hessian(void)
{
dmatrix tmp(1,n,1,n);
for (int i=1;i<=n;i++)
for (int j=1;j<=n;j++)
tmp(i,j)=h(i,j);
return tmp;
}
double func2(const dvar_vector & x)
{
dvariable f;
f=norm2(x-1.0);
return value(f);
}
int main()
{
int nvar=5;
independent_variables x(1,nvar);
"h.cpp" 66L, 1341C
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