Numerical derivatives of compiled functions
- To: mathgroup at smc.vnet.net
- Subject: [mg32845] Numerical derivatives of compiled functions
- From: Kyriakos Chourdakis <k.chourdakis at qmul.ac.uk>
- Date: Fri, 15 Feb 2002 02:49:45 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Dear all,
I have a compiled function and want to find the Hessian matrix numerically
at a specific point. The function ND[] does not work even in simple cases
like:
In: cf = Compile[{x, y}, Module[{a = 3}, Print[x, " ", y]; a x^a y]]
Out: CompiledFunction[{x, y},Module[{a = 3}, Print[x, " ", y]; a x^a y],
-CompiledCode-]
In: ND[cf[q, 4], q, 2]
CompiledFunction::"cfsa": "Argument q at position 1 should be a
machine-size real number.
q 4
Out: 144.
My guess is that ND[] tries to evaluate the function symbolically first. In
my problem I have the product/sum of over 10000 primitive functions, and
symbolic computations for all second-order derivs will take for ever.
When plotting is concerned, I suppose that the option Compiled does the
trick. How would that work with ND[]?
Cheers,
Kyriakos
_____+*"*+____+*"*+___+*"*+__+*"*+_
Kyriakos Chourdakis
Lecturer in Financial Economics
URL: http://www.qmw.ac.uk/~te9001
tel: (++44) (+20) 7882 5086
Dept of Economics
University of London, QM
London E1 4NS
U.K.