sparseHessianFD

Numerical Estimation of Sparse Hessians

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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. See Braun, M. (2017) doi:10.18637/jss.v082.i10.


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