6. Derivative Options

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Antonio Horta Ribeiro edited this page Aug 25, 2017 · 4 revisions

Finite-Difference Computation

Implement finite difference approximation in order to compute:
- Hessian-vector product.
Integrate Nikolay's implementation of finite differences to compute:
- Jacobian;
- Gradient.

Quasi-Newton derivatives approximation

SR1
BFGS
L-BFGS