How to compute the hessian matrix, when I'm using a Nelder-Mead maximum optimization of a function
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Hi,
I'm performing a nelder-mead optimization of a function (f), and I want to calculate the coefficient of variance matrix (COVmatrix). To do this I want to use the inverse Hessian matrix or inverse fisher information matrix. Is there an command in matlab that finds this??
Thanks!
My script:
clc;clear all; close all;
T = [1651 1640 1670 1670 1658 1668 1647 1661]; % Test data
f = @(x) -(sum(log10(wblpdf(T,x(1),x(2))))); % Function
[x,fval] = fminsearch(f,[1600, 100]) % Finds maximum values of x(1) and x(2)
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Respuestas (1)
Alan Weiss
el 15 de Abr. de 2015
I am not aware of anything in base MATLAB, but there is at least one Hessian calculator on the File Exchange.
Alan Weiss
MATLAB mathematical toolbox documentation
4 comentarios
Jacek Barszczewski
el 24 de En. de 2022
Hi Dean, I'm interested in this code. I would be very grateful!
Pedro Gardete
el 7 de Feb. de 2024
Same here! Could you perhaps share it or post it somewhere? Thank you...
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