Estimate sparse Hessian

Estimate Hessian using triangular subsitution algorithm

subst(Y, colors, jCol, ipntr, delta, nvars, nnz)

Arguments

Y

Matrix of finite differences of gradients

colors

Vector of length nvars that identifies color of each variable

jCol, ipntr

Column indices and row pointers for non-zero elements of lower triangle of Hessian (row-oriented compressed format).

delta

Perturbation factor used to compute finite differences of gradients.

nvars

Dimension of Hessian (number of variables)

nnz

Number of non-zero elements in the lower triangle of the Hessian.

Value

A sparse Hessian of class dgCMatrix.

Details

For internal use. You should not have to call this function directly.