Numerical Jacobian in Matlab
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Daniel Wells
el 5 de Feb. de 2012
Respondida: men8th
el 20 de Nov. de 2024 a las 15:07
I am trying to estimate the Jacobian of a multivariable function in Matlab. I came across a method here:
<http://www.mathworks.com/support/solutions/en/data/1-CMM53T/index.html?product=OP&solution=1-CMM53T>
that recommends using the function lsqnonlin. As an example, I define the function
f = @(x)[x(1)^2 + x(2)^2, x(1)^3.*x(2)^3];
and the point
A = [1 1];
The Jacobian of f at this point should pretty clearly be [2, 2;3, 3];
However, when I use the method described in the above link, I find that
[x, ~, ~, ~, ~, ~, jac] = lsqnonlin(f, A,[],[], optimset('MaxIter', 0))
x = [.7308 .7308]
and jac = [1.4615, 1.4615; .6252, .6252];
Clearly, something is a foot. Any ideas what is going on? Any ideas of a better way, using a native MATLAB function, to evaluate a jacobian numerically? (I don't want to do it symbolically.)
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Anton Semechko
el 5 de Feb. de 2012
lsqnonlin is not designed for the purpose of evaluating Jacobians. I thought your main concern was that it does not evaluate the Jacobian accurately. But given the above example, it does.
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Anton Semechko
el 5 de Feb. de 2012
but if you insist on using lsqnonlin for the sole purpose of evaluating Jacobians then instead of MaxIter=0 you have to set MaxFunEvals=0 (i.e. optimset('MaxFunEvals', 0) )
Más respuestas (5)
Matthieu Heitz
el 2 de Feb. de 2017
Hi !
If I may provide another answer that uses finite differences.
% Jacobian functor
J = @(x,h,F)(F(repmat(x,size(x'))+diag(h))-F(repmat(x,size(x'))))./h';
% Your function
f = @(x)[x(1)^2 + x(2)^2; x(1)^3.*x(2)^3];
% Point at which to estimate it
x = [1;1];
% Step to take on each dimension (has to be small enough for precision)
h = 1e-5*ones(size(x));
% Compute the jacobian
J(x,h,f)
This J function works with any function f. Note that x and the result of f must be in a vertical vector for it to work.
1 comentario
John D'Errico
el 5 de Feb. de 2012
Whats the problem?
f = @(x)[x(1)^2 + x(2)^2, x(1)^3.*x(2)^3];
jacobianest(f,[1 1])
ans =
2 2
3 3
It is on the file exchange.
Daniel Wells
el 5 de Feb. de 2012
2 comentarios
John D'Errico
el 5 de Feb. de 2012
You can always use derivest to estimate individual components of the Jacobian. It will allow you much more control over the estimation procedure, with many more options. You can vary the order of the approximation, apply one sided or two sided estimators, change limits on the steps taken, etc. If these estimates are consistent with the Jacobian, taking into account the error estimates it provides, then you can assume it is doing its job reasonably well. Jacobianest is not as sophisticated as is derivest, with far fewer options.
Of course, one can always come up with a nasty enough function that any adaptive scheme will go wrong. For proof of that, just look at the number of people who post questions asking why quad/quadgk etc. has failed on their function. And those people are not even actively trying to make those tools fail.
Hannah Trachtman
el 19 de Jun. de 2019
Hi John,
I realize this is many years later, but I am trying to do exactly this and having trouble. I'm working from your example code below:
fun = @(x,y) x.^2 + y.^2;
xy = [2 3];
gradvec = [derivest(@(x) fun(x,xy(2)),xy(1),'d',1), ...
derivest(@(y) fun(xy(1),y),xy(2),'d',1)]
But my function is a large vector-valued function stored in an m-file (since I was originally using jacobianest). It looks something like this:
function [calcMoments] = calculator(parameters)
alpha = parameters(1)
beta = parameters(2)
calcMoments = alpha^2 + beta^2
end
How do I modify your code to apply to this kind of function? I'm a relatively inexperienced Matlab user so I might be missing something trivial. Can you point me in the right direction?
Thank you!
Hannah
Anton Semechko
el 5 de Feb. de 2012
Actually there is non problem what so ever. The Jacobian of your function is:
J=@(x) [2*x(1) 2*x(2);3*x(2).*(x(1).*x(2)).^2 3*x(1).*(x(1).*x(2)).^2];
Evaluating J at x = [.7308 .7308]:
jac=J([.7308 .7308])
jac =
1.4616 1.4616
0.6253 0.6253
you get the same answer as that returned by lsqnonlin
men8th
el 20 de Nov. de 2024 a las 15:07
Matlab has a built-in, but not very well documented function which will compute Jacobians numerically
help numjac
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