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Re: [Help-gsl] finite difference approximation of gradient BFGS

From: Patrick Alken
Subject: Re: [Help-gsl] finite difference approximation of gradient BFGS
Date: Mon, 19 Jun 2017 11:29:11 +0200
User-agent: Mozilla/5.0 (X11; Linux x86_64; rv:52.0) Gecko/20100101 Thunderbird/52.1.1

I'm not too familiar with the multimin algorithms, but it may be similar
to the nonlinear least squares code, which does implement a
finite-difference Jacobian. Have a look at multifit_nlinear/fdjac.c and
the corresponding documentation here:

Hope this helps,

On 06/17/2017 08:36 AM, Info wrote:
> Hello,
> In R, when the gradient function is not provided a finite difference
> approximation is made. I am trying to replicate it with GSL but
> unfortunately I am not able to completely follow the internal code in
> 'optim.c'. I wonder if somebody could share some finite difference
> approximation code for:  
>     void (* df) (const gsl_vector * x, void * params, gsl_vector * g)
>     void (* fdf) (const gsl_vector * x, void * params, double * f,
> gsl_vector * g)
> Many thanks. 

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