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
autoTensor.m
function [f,g,H,T] = autoTensor(x,type,funObj,varargin)
% [f,g,H,T] = autoTensor(x,useComplex,funObj,varargin)
% Numerically compute Tensor of 3rd-derivatives of objective function from Hessian values
p = length(x);
if type == 2
mu = 2*sqrt(1e-12)*(1+norm(x));
f1 = zeros(p,1);
f2 = zeros(p,2);
g1 = zeros(p);
g2 = zeros(p);
diff = zeros(p,p,p);
for j = 1:p
e_j = zeros(p,1);
e_j(j) = 1;
[f1(j) g1(:,j) diff1(:,:,j)] = funObj(x + mu*e_j,varargin{:});
[f2(j) g2(:,j) diff2(:,:,j)] = funObj(x + mu*e_j,varargin{:});
end
f = mean([f1;f2]);
g = mean([g1 g2],2);
H = mean(cat(3,diff1,diff2),3);
T = (diff1-diff2)/(2*mu);
elseif type == 3 % Use Complex Differentials
mu = 1e-150;
f = zeros(p,1);
g = zeros(p);
diff = zeros(p,p,p);
for j = 1:p
e_j = zeros(p,1);
e_j(j) = 1;
[f(j) g(:,j) diff(:,:,j)] = funObj(x + mu*i*e_j,varargin{:});
end
f = mean(real(f));
g = mean(real(g),2);
H = mean(real(diff),3);
T = imag(diff)/mu;
else % Use finite differencing
mu = 2*sqrt(1e-12)*(1+norm(x));
[f,g,H] = funObj(x,varargin{:});
diff = zeros(p,p,p);
for j = 1:p
e_j = zeros(p,1);
e_j(j) = 1;
[~ ~ diff(:,:,j)] = funObj(x + mu*e_j,varargin{:});
end
T = (diff-repmat(H,[1 1 p]))/mu;
end