[Numpy-discussion] Calculation of a hessian

[Kiko]

2014-08-08 16:37 GMT+02:00 Eelco Hoogendoorn <hoogendoorn.eelco at gmail.com>:

> Do it in pure numpy? How about copying the source of numdifftools?
>

Of course it is a solution. I was just wondering if it exist something
similar in the numpy/scipy packages so I do not have to use a new third
party library to do that.


> What exactly is the obstacle to using numdifftools? There seem to be no
> licensing issues. In my experience, its a crafty piece of work; and
> calculating a hessian correctly, accounting for all kinds of nasty floating
> point issues, is no walk in the park. Even if an analytical derivative
> isn't too big a pain in the ass to implement, there is a good chance that
> what numdifftools does is more numerically stable (though in all likelihood
> much slower).
>
> The only good reason for a specialized solution I can think of is speed;
> but be aware what you are trading it in for. If speed is your major concern
> though, you really cant go wrong with Theano.
>
>
> http://deeplearning.net/software/theano/library/gradient.html#theano.gradient.hessian
>
>
Thanks, it seems that NumDiffTools is the way to go.


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