\$LastChangedDate\$ derivative approximate derivatives of a function Calling Sequence derivative(F,x) [J [,H]] = derivative(F,x [,h ,order ,H_form ,Q]) Parameters F a Scilab function F: R^n --> R^m or a list(F,p1,...,pk), where F is a scilab function in the form y=F(x,p1,...,pk), p1, ..., pk being any scilab objects (matrices, lists,...). x real column vector of dimension n. h (optional) real, the stepsize used in the finite difference approximations. order (optional) integer, the order of the finite difference formula used to approximate the derivatives (order = 1,2 or 4, default is order=2 ). H_form (optional) string, the form in which the Hessean will be returned. Possible forms are: H_form='default' H is a m x (n^2) matrix ; in this form, the k-th row of H corresponds to the Hessean of the k-th component of F, given as the following row vector : ((grad(F_k) being a row vector). H_form='blockmat' : H is a (mxn) x n block matrix : the classic Hessean matrices (of each component of F) are stacked by row (H = [H1 ; H2 ; ... ; Hm] in scilab syntax). H_form='hypermat' : H is a n x n matrix for m=1, and a n x n x m hypermatrix otherwise. H(:,:,k) is the classic Hessean matrix of the k-th component of F. Q (optional) real matrix, orthogonal (default is eye(n,n)). Q is added to have the possibility to remove the arbitrariness of using the canonical basis to approximate the derivatives of a function and it should be an orthogonal matrix. It is not mandatory but better to recover the derivative as you need the inverse matrix (and so simply Q' instead of inv(Q)). J approximated Jacobian H approximated Hessian Description Numerical approximation of the first and second derivatives of a function F: R^n --> R^m at the point x. The Jacobian is computed by approximating the directional derivatives of the components of F in the direction of the columns of Q. (For m=1, v=Q(:,k) : grad(F(x))*v = Dv(F(x)).) The second derivatives are computed by composition of first order derivatives. If H is given in its default form the Taylor series of F(x) up to terms of second order is given by : (([J,H]=derivative(F,x,H_form='default'), J=J(x), H=H(x).) Remarks Numerical approximation of derivatives is generally an unstable process. The step size h must be small to get a low error but if it is too small floating point errors will dominate by cancellation. As a rule of thumb don't change the default step size. To work around numerical difficulties one may also change the order and/or choose different orthogonal matrices Q (the default is eye(n,n)), especially if the approximate derivatives are used in optimization routines. All the optional arguments may also be passed as named arguments, so that one can use calls in the form : Examples See Also numdiff derivat Authors Rainer von Seggern, Bruno Pincon