37 lines
1003 B
Matlab
37 lines
1003 B
Matlab
% FDJAC Computes two-sided finite difference Jacobian
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% USAGE
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% fjac = fdjac(f,x,P1,P2,...)
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% INPUTS
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% f : name of function of form fval = f(x)
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% x : evaluation point
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% P1,P2,... : additional arguments for f (optional)
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% OUTPUT
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% fjac : finite differnce Jacobian
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%
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% USER OPTIONS (SET WITH OPSET)
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% tol : a factor used in setting the step size
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% increase if f is inaccurately computed
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% Copyright (c) 1997-2002, Paul L. Fackler & Mario J. Miranda
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% paul_fackler@ncsu.edu, miranda.4@osu.edu
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function fjac = fdjac(f,x,varargin)
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tol = optget(mfilename,'tol',eps.^(1/3));
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h = tol.*max(abs(x),1);
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xh1=x+h; xh0=x-h;
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h=xh1-xh0;
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for j=1:length(x);
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xx = x;
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xx(j) = xh1(j); f1=feval(f,xx,varargin{:});
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xx(j) = xh0(j); f0=feval(f,xx,varargin{:});
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fjac(:,j) = (f1-f0)/h(j);
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% v = (f1-f0);
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% k = find(abs(v) < 1e-8);
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% v(k) = 0;
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%
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% fjac(:,j) = v/h(j);
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end
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feval(f,x,varargin{:}); |