function [J]=diffext(f,x,options,varargin) [nargout,nargin] = argn(0) //--------------------------------------------------------------------------- //DIFFEXT Numerical approximation for hessian. // The method is Richardson`s extrapolation. // Sample call // [D,err,relerr,n] = diffext('f',x,delta,toler) // Inputs // f name of the function // x differentiation point // options matrix of algorithm parameters // delta error goal (1e-12) (suppressed MJ 02/27/02) // toler relative error goal (1e-12) // Return // J Jacobian // // NUMERICAL METHODS: MATLAB Programs, (c) John H. Mathews 1995 // // Modified F. Collard, August 2001 //--------------------------------------------------------------------------- if nargin > 2 then if ~(options==[]) then // %delta = options(1); toler = options(2); maxit = options(3); else // %delta = 1e-12; toler = 1e-12; maxit = 20; end else %delta = 1e-12; toler = 1e-12; maxit = 20; end con = 1.4; con2 = con*con; big = 1e30; safe = 2; if nargin > 3 ff = evstr(f+'(x,varargin)'); else ff = evstr(f+'(x)'); end nx = size(x,1); nf = size(ff,1); J = zeros(nf,nx); for xi = 1:nx err = big*ones(nf,1);; // relerr = big*ones(nf,1); h = max(abs(x(xi))/10, 10*gstep_)*100*gstep_; dx = zeros(nx,1); dx(xi,1) = h; if nargin > 3 fs = evstr(f+'(x+dx,varargin)'); fm = evstr(f+'(x-dx,varargin)'); else fs = evstr(f+'(x+dx)'); fm = evstr(f+'(x-dx)'); end D1 = (fs-fm)/(2*h); mask = ones(nf,1); j = 2; while (1) D2 = zeros(nf,j); h = h/con; dx(xi,1) = h; if nargin > 3 fs = evstr(f+'(x+dx,varargin)'); fm = evstr(f+'(x-dx,varargin)'); else fs = evstr(f+'(x+dx)'); fm = evstr(f+'(x-dx)'); end for fi = 1:nf if mask(fi) err2 = big; D2(fi,1) = (fs(fi)-fm(fi))/(2*h); fac = con2; for k = 2:j D2(fi,k) = D2(fi,k-1)+(D2(fi,k-1)-D1(fi,k-1))/(fac-1); fac = con2*fac; errt = max(abs(D2(fi,k)-D2(fi,k-1)),abs(D2(fi,k)-D1(fi,k-1))); if errt <= err2 err2 = errt; deriv = D2(fi,k); end end err(fi) = abs(D2(fi,j)-D1(fi,j-1)); // relerr(fi) = 2*err(fi)/(abs(D2(fi,j))+abs(D1(fi,j-1))+%eps); // if (err(fi) < toler & relerr(fi) < %delta)| err(fi) > safe*err2 if err(fi) < toler | err(fi) > safe*err2 J(fi,xi) = deriv; mask(fi) = 0; end end end if (mask == 0) then break end j = j+1; if j == maxit error('DIFFEXT didn''t converge. Try to increase gstep_ (default 0.01)') end D1 = D2; end [m_err,i] = max(err); if m_err > 1e-12 error('DIFFEXT obtains an accuracy > 1e-12. Try to increase gstep_ (default 0.01)') end // [m_err,i] = max(relerr); // if m_err > 1e-12 // dyn_disp(err) // dyn_disp(relerr) // dyn_disp(D2) // error('DIFFEXT obtains an relative accuracy > 1e-12. Try to increase gstep_ (default 0.01)') // end end // 10/12/2001 MJ modified initial h // 02/25/2002 MJ put equation look inside