https://github.com/ruqihuang/AdjointFmaps
Tip revision: d41efaa1636fb8cc0da8f09d89f4a1cae0172320 authored by ruqihuang on 24 August 2017, 07:39:27 UTC
Update readme
Update readme
Tip revision: d41efaa
fastDerivativeCheck.m
function diff = derivativeCheck(funObj,x,order,type,varargin)
% diff = fastDerivativeCheck(funObj,x,order,varargin)
if nargin < 3
order = 1; % Only check gradient by default
if nargin < 4
type = 2; % Use central-differencing by default
end
end
p = length(x);
d = sign(randn(p,1));
if order == 2
fprintf('Checking Hessian-vector product along random direction:\n');
[f,g,H] = funObj(x,varargin{:});
Hv = H*d;
if type == 1 % Use Finite Differencing
mu = 2*sqrt(1e-12)*(1+norm(x))/(1+norm(x));
[diff,diffa] = funObj(x+d*mu,varargin{:});
Hv2 = (diffa-g)/mu;
elseif type == 3 % Use Complex Differentials
mu = 1e-150;
[diff,diffa] = funObj(x+d*mu*i,varargin{:});
Hv2 = imag(diffa-g)/mu;
else % Use Central Differencing
mu = 2*sqrt(1e-12)*(1+norm(x))/(1+norm(x));
[diff1,diffa] = funObj(x+d*mu,varargin{:});
[diff2,diffb] = funObj(x-d*mu,varargin{:});
Hv2 = (diffa-diffb)/(2*mu);
end
fprintf('Max difference between user and numerical Hessian-vector product: %e\n',max(abs(Hv-Hv2)));
else
fprintf('Checking Gradient along random direction:\n');
[f,g] = funObj(x,varargin{:});
gtd = g'*d;
if type == 1 % Use Finite Differencing
mu = 2*sqrt(1e-12)*(1+norm(x))/(1+norm(x));
diff = funObj(x+d*mu,varargin{:});
gtd2 = (diff-f)/mu;
elseif type == 3 % Use Complex Differentials
mu = 1e-150;
[diff,diffa] = funObj(x+d*mu*i,varargin{:});
gtd2 = imag(diff)/mu;
else % Use Central Differencing
mu = 2*sqrt(1e-12)*(1+norm(x))/(1+norm(x));
diff1 = funObj(x+d*mu,varargin{:});
diff2 = funObj(x-d*mu,varargin{:});
gtd2 = (diff1-diff2)/(2*mu);
end
fprintf('Max difference between user and numerical directional-derivative: %e\n',max(abs(gtd-gtd2)));
end