R/sparseHessianFD.R
sparseHessianFD-package.RdEstimate sparse Hessians using finite differences of gradients.
The Hessian is returned as a sparse Matrix (dgCMatrix-class). The user supplies the objective function, the gradient, and the row and column indices of the non-zero elements of the lower triangle of the Hessian (i.e., the sparsity structure must be known in advance).
In a typical case, you should only need to use the sparseHessianFD initializer, and the fn, gr and hessian methods of the sparseHessian class, and the Matrix.to.Coord utility function.
Braun, Michael. 2017. sparseHessianFD: An R Package for Estimating Sparse Hessian Matrices. Journal of Statistical Software 82 (10): 1-22.
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