I am new to 'R' and also new to the concept of a 'Hessian' with non-linear optimization. I would like to avoid going through all of the reference articles given with ?optim as access to a library is not handy. Would someone be able to elighten me on what is in the Hessian matrix if 'hessian = TRUE' with optim? The documentation indicates that this is a numerically differentiated Hessian. So I am assuming that some small delta is chosen. How is the delta chosen ? Thank you. Kevin
Hessian?
2 messages · rkevinburton at charter.net, Gad Abraham
2 days later
rkevinburton at charter.net wrote:
I am new to 'R' and also new to the concept of a 'Hessian' with non-linear optimization. I would like to avoid going through all of the reference articles given with ?optim as access to a library is not handy. Would someone be able to elighten me on what is in the Hessian matrix if 'hessian = TRUE' with optim? The documentation indicates that this is a numerically differentiated Hessian. So I am assuming that some small delta is chosen. How is the delta chosen ?
how about http://en.wikipedia.org/wiki/Hessian_matrix ?
Gad Abraham Dept. CSSE and NICTA The University of Melbourne Parkville 3010, Victoria, Australia email: gabraham at csse.unimelb.edu.au web: http://www.csse.unimelb.edu.au/~gabraham