hessMTw#

Purpose#

Computes numerical Hessian with weights.

Format#

h = hessMTw(&fct, par1, data1, 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
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
wgt = zeros(5,1) | ones(10,1);

// 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 = hessMTw(&fct, p1, x, wgt);

Remarks#

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

par1 must be created using the pvPack() procedures.

Source#

hessmt.src