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matlabnumerical-methodscalculus

Compute Hessian matrix for functions that involve matrix in matlab

Is it possible to compute the numerical hessian matrix for this function with respect to W_i,C, epsilon_i easily Matlab? I have computed a hessian by manually take a derivative, but I want to verify if my result is correct.

W = Nx1;
X = NxM;
X_i = Nx1;
y = 1xM;
C = 1x1;

this function

Solution

  • DERIVEST on the file exchange has a function for doing this. There are also tips for doing this eg in Section 18 of this tutorial, or many other places.