Calculate Hessian with finite difference derivative approximation
Parameters : | x : array_like
f : function
epsilon : float or array-like, optional
args : tuple
kwargs : dict
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Returns : | hess : ndarray
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Notes
Equation (9) in Ridout. Computes the Hessian as:
1/(4*d_j*d_k) * ((f(x + d[j]*e[j] + d[k]*e[k]) - f(x + d[j]*e[j]
- d[k]*e[k])) -
(f(x - d[j]*e[j] + d[k]*e[k]) - f(x - d[j]*e[j]
- d[k]*e[k]))
where e[j] is a vector with element j == 1 and the rest are zero and d[i] is epsilon[i].
References
This is an alias for approx_hess3