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Calculate the numerical hessian

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amine&&
amine&& 2016-11-5
评论： Walter Roberson 2016-11-7
Hello!
I have the following function with the two variables alha and beta:
function MSE=mseFunction(alpha,beta,Donnee_6_jours)
moyenneMobile=zeros(240,1);
%Calcul de la moyenne mobile
for i=1:240
moyenneMobile(i)=1/48.*((Donnee_6_jours(i)/2)+sum(Donnee_6_jours(i+1:i+47))+(Donnee_6_jours(i+48)/2));
end
moyenneMobileCentree = padarray(moyenneMobile,24,'both');
composanteSaisonniaire=Donnee_6_jours(25:264)./moyenneMobileCentree(25:264);
composanteSaisonniaireV2 = padarray(composanteSaisonniaire,24,'both');
MatriceComposanteSaisonniaire = reshape(composanteSaisonniaireV2,[48,6]);
MatriceComposanteSaisonniaire(1:24,1)=NaN;
MatriceComposanteSaisonniaire(25:48,6)=NaN;
MedianneComposantsSaisonniers = nanmedian(MatriceComposanteSaisonniaire,2);
LES=zeros(288,1);
LES(25)=moyenneMobileCentree(25);
for i=26:264;
LES(i)=alpha.*moyenneMobileCentree(i)+(1-alpha).*LES(i-1);
end
S=zeros(264,1);
S(1:48,:)=MedianneComposantsSaisonniers;
for j=49:264;
S(j)=beta.*(Donnee_6_jours(j)./LES(j))+(1-beta).*S(j-48);
end
PREV=zeros(264,1);
PREV(26:264)=S(26:264).*LES(25:263);
PREV2=padarray(PREV(:),24,'post');
MSE = mean((Donnee_6_jours(26:264)-PREV2(26:264)).^2);
is there a way to calculate the numerical hessian.
Thanks!

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回答（2 个）

Walter Roberson
Walter Roberson 2016-11-6
  4 个评论
显示 2更早的评论
amine&&
amine&& 2016-11-7
Hello Roberson,
the fourth line generates an error
mse = arrayfun(@alpha,beta) mseFunction(alpha, beta, Donnee_6_jours), ALPHA, BETA);
|
Error: Unexpected MATLAB expression.
what you think of the following function use to compute the gradient :
function grad_x=gradIent(x1,x2,Donnee_6_jours)
x=zeros(2,1);
x(1)=x1;
x(2)=x2;
h=1*10^-2;
v=eye(2,2);
grad_x=zeros(2,1);
for i=1:2
T1=x+h.*v(:,i);
T2=x-h.*v(:,i);
grad_x(i)=(mseFunction(T1(1),T1(2),Donnee_6_jours)-mseFunction(T2(1),T2(2),Donnee_6_jours))/(2*h);
end
Thanks Roberson.
Walter Roberson
Walter Roberson 2016-11-7
mse = arrayfun(@(alpha,beta) mseFunction(alpha, beta, Donnee_6_jours), ALPHA, BETA);

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Matt J
Matt J 2016-11-7
Have a look at this FEX submission, in particular at hessian(fun,x0).

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