37 lines
999 B
R
37 lines
999 B
R
#' Numeric differentiation
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#'
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#' @example inst/examples/num_deriv.R
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#'
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#' @export
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num.deriv <- function(F, X, h = 1e-6, sym = FALSE) {
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if (sym) {
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stopifnot(isSymmetric(X))
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p <- nrow(X)
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k <- seq_along(X) - 1
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mapply(function(i, j) {
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dx <- h * ((k == i * p + j) | (k == j * p + i))
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(F(X + dx) - F(X - dx)) / (2 * h)
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}, .row(dim(X)) - 1, .col(dim(X)) - 1)
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} else {
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sapply(seq_along(X), function(i) {
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dx <- h * (seq_along(X) == i)
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(F(X + dx) - F(X - dx)) / (2 * h)
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})
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}
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}
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#' Second numeric derivative
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#'
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#' @export
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num.deriv2 <- function(F, X, Y, h = 1e-6, symX = FALSE, symY = FALSE) {
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if (missing(Y)) {
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num.deriv(function(x) {
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num.deriv(function(z) F(z), x, h = h, sym = symX)
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}, X, h = h, sym = symX)
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} else {
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num.deriv(function(y) {
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num.deriv(function(x) F(x, y), X, h = h, sym = symX)
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}, Y, h = h, sym = symY)
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}
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}
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