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How to compute the hessian matrix, when I'm using a Nelder-Mead maximum optimization of a function

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Trond Oesten 2015-4-15

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评论： Pedro Gardete 2024-2-7

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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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Alan Weiss 2015-4-15

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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

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Jacek Barszczewski 2022-1-24

Hi Dean, I'm interested in this code. I would be very grateful!

Pedro Gardete 2024-2-7

Same here! Could you perhaps share it or post it somewhere? Thank you...

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