文章基本信息

标题：sparseHessianFD: An R Package for Estimating Sparse Hessian Matrices
本地全文：下载
作者：Michael Braun
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2017
卷号：82
期号：1
页码：1-22
DOI：10.18637/jss.v082.i10
语种：English
出版社：University of California, Los Angeles
摘要：Sparse Hessian matrices occur often in statistics, and their fast and accurate estimation can improve efficiency of numerical optimization and sampling algorithms. By exploiting the known sparsity pattern of a Hessian, methods in the sparseHessianFD package require many fewer function or gradient evaluations than would be required if the Hessian were treated as dense. The package implements established graph coloring and linear substitution algorithms that were previously unavailable to R users, and is most useful when other numerical, symbolic or algorithmic methods are impractical, inefficient or unavailable.