hessMTmw

Purpose

Computes numerical Hessian with mask and weights.

Format

h = hessMTmw(&fct, par1, data1, mask, wgts)
Parameters:
  • &fct (scalar) – pointer to procedure returning Nx1 vector.
  • par1 (struct) – an instance of structure of type PV containing parameter vector at which Hessian is to be evaluated
  • data1 (struct) – structure of type DS containing any data needed by fct
  • mask (KxK matrix) – elements in h corresponding to elements of mask set to zero are not computed, otherwise are computed.
  • wgts (Nx1 vector) – weights
Returns:

h (KxK matrix) – Hessian.

Examples

// Define a PV structure
struct PV p1;

// Create p1 PV structure
p1 = pvCreate;

// Fill PV structure
p1 = pvPack(p1, 0.1|0.2, "P");

// Create data matrix
x = seqa(1, 1, 15);

// Define weights
wgts = zeros(5,1) | ones(10,1);

// Mask
mask = { 1 1,
         1 0 };

// Function to compute Hessian
proc fct(struct PV p0, x);
    local p, y;

    // Unpack parameters
    p = pvUnpack(p0, "P");

    // Define Hessian
    y = p[1] * exp( -p[2] * x);

    retp(y);
endp;

// Find Hessian
h = hessMTmw(&fct, p1, x, mask, wgts);

Remarks

fct must evaluate to an Nx1 vector conformable to the weight vector.

par1 must be created using the pvPack() procedures.

Source

hessmt.src