Estimates Hessian of a scalar-valued function, and returns it in a sparse Matrix format. The sparsity pattern must be known in advance. The algorithm is especially efficient for hierarchical models with a large number of heterogeneous units.

Documentation

Manual: sparseHessianFD.pdf
Vignette: Using the sparseHessianFD package

Maintainer: Michael Braun <braunm at smu.edu>

Author(s): Michael Braun*

Install package and any missing dependencies by running this line in your R console:

install.packages("sparseHessianFD")

Depends R (>= 3.2.3)
Imports Matrix(>=1.2.4), methods, Rcpp(>=0.12.8)
Suggests testthat, numDeriv, scales, knitr, xtable, dplyr
Enhances
Linking to Rcpp, RcppEigen(>=0.3.2.9.0)
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Package sparseHessianFD
Materials
URL http://www.smu.edu/Cox/Departments/FacultyDirectory/BraunMichael
Task Views
Version 0.3.2
Published 2016-12-26
License MPL (== 2.0)
BugReports
SystemRequirements C++11
NeedsCompilation yes
Citation
CRAN checks sparseHessianFD check results
Package source sparseHessianFD_0.3.2.tar.gz