micEcon (version 0.2-4)

compare.derivatives: function to compare analytic and numeric derivatives

Description

This function compares analytic and numerical derivative and prints diagnostics. Intended for testing pre-programming derivative routines for maximisation algorithm.

Usage

compare.derivatives(f, grad, hess=NULL, t0, eps=1e-6, ...)

Arguments

f

function to be differentiated. The parameter (vector) of interest must be the first argument. The function may return a vector.

grad

function returning the analytic gradient. Must use the same parameters as f. If f is a vector-valued function, grad must return a matrix where the number of rows equals the number of components of f, and

hess

function returning the analytic hessian. If present, hessian matrices are compared too. Only appropriate for scalar-valued functions.

t0

parameter vector indicating the point at which the derivatives are compared. The derivative must be taken w.r.t. this vector.

eps

numeric. Step size for numeric differentiation. Central derivative is used.

...

further arguments to f, grad and hess.

Details

For every component of f, the parameter value, analytic and numeric derivative and their relative difference (analytic - numeric)/analytic are printed. If analytic derivatives are correct and the function looks nice, expect the relative differences to be less than 1e-7.

See Also

numericGradient

Examples

## A simple example with sin(x)' = cos(x)
f <- sin
compare.derivatives(f, cos, t0=1)
##
## Example of log-likelihood of normal density.  Two-parameter
## function.
x <- rnorm(100, 1, 2) # generate rnorm x
l <- function(b) sum(log(dnorm((x-b[1])/b[2])/b[2]))
              # b[1] - mu, b[2] - sigma
gradl <- function(b) {
c(sum(x - b[1])/b[2]^2,
sum((x - b[1])^2/b[2]^3 - 1/b[2]))
}
compare.derivatives(l, gradl, t0=c(1,2))