Package jebl.math

Class NumericalDerivative

  • public class NumericalDerivative
extends java.lang.Object
    approximates numerically the first and second derivatives of a function of a single variable and approximates gradient and diagonal of Hessian for multivariate functions
    Author:
    Korbinian Strimmer

    • Constructor Detail

      • NumericalDerivative

        public NumericalDerivative()

    • Method Detail

      • firstDerivative

        public static double firstDerivative​(UnivariateFunction f,
                                     double x)
        determine first derivative
        Parameters:
        f - univariate function
        x - argument
        Returns:
        first derivate at x

      • secondDerivative

        public static double secondDerivative​(UnivariateFunction f,
                                      double x)
        determine second derivative
        Parameters:
        f - univariate function
        x - argument
        Returns:
        second derivate at x

      • gradient

        public static double[] gradient​(MultivariateFunction f,
                                double[] x)
        determine gradient
        Parameters:
        f - multivariate function
        x - argument vector
        Returns:
        gradient at x

      • gradient

        public static void gradient​(MultivariateFunction f,
                            double[] x,
                            double[] grad)
        determine gradient
        Parameters:
        f - multivariate function
        x - argument vector
        grad - vector for gradient

      • diagonalHessian

        public static double[] diagonalHessian​(MultivariateFunction f,
                                       double[] x)
        determine diagonal of Hessian
        Parameters:
        f - multivariate function
        x - argument vector
        Returns:
        vector with diagonal entries of Hessian