Package numdifftools
NUMDIFFTOOLS
Suite of tools to solve automatic numerical differentiation problems
in one or more variables. All of these methods also produce error
estimates on the result. A pdf file is also provided to explain the
theory behind these tools.
To test if the toolbox is working paste the following in an
interactive python session:
import numdifftools as nd
nd.test(coverage=True)
Derivative:
A flexible tool for the computation of derivatives of order 1
through 4 on any scalar function. Finite differences are used in an
adaptive manner, coupled with a Romberg extrapolation methodology to
provide a maximally accurate result. The user can configure many of
the options, changing the order of the method or the extrapolation,
even allowing the user to specify whether central, forward or
backward differences are used.
Gradient
Computes the gradient vector of a scalar function of one or more
variables at any location.
Jacobian
Computes the Jacobian matrix of a vector (or array) valued
function of one or more variables.
Hessian
Computes the Hessian matrix of all 2nd partial derivatives of a
scalar function of one or more variables.
Hessdiag
The diagonal elements of the Hessian matrix are the pure second
order partial derivatives.
Examples
Compute 1'st and 2'nd derivative of exp(x), at x == 1:
>>> import numpy as np
>>> import numdifftools as nd
>>> fd = nd.Derivative(np.exp) # 1'st derivative
>>> fdd = nd.Derivative(np.exp,derOrder=2) # 2'nd derivative
>>> fd(1)
array([ 2.71828183])
Nonlinear least squares:
>>> xdata = np.reshape(np.arange(0,1,0.1),(-1,1))
>>> ydata = 1+2*np.exp(0.75*xdata)
>>> fun = lambda c: (c[0]+c[1]*np.exp(c[2]*xdata) - ydata)**2
>>> Jfun = Jacobian(fun)
>>> Jfun([1,2,0.75]) # should be numerically zero
array([[ 0.00000000e+00, 0.00000000e+00, 0.00000000e+00],
[ 0.00000000e+00, 0.00000000e+00, -1.30229526e-17],
[ 0.00000000e+00, -2.12916532e-17, 6.35877095e-17],
[ 0.00000000e+00, 0.00000000e+00, 6.95367972e-19],
[ 0.00000000e+00, 0.00000000e+00, -2.13524915e-17],
[ 0.00000000e+00, -3.08563327e-16, 7.43577440e-16],
[ 0.00000000e+00, 1.16128292e-15, 1.71041646e-15],
[ 0.00000000e+00, 0.00000000e+00, -5.51592310e-16],
[ 0.00000000e+00, -4.51138245e-19, 1.90866225e-15],
[ -2.40861944e-19, -1.82530534e-15, -4.02819694e-15]])
Compute gradient of sum(x**2):
>>> fun = lambda x: np.sum(x**2)
>>> dfun = Gradient(fun)
>>> dfun([1,2,3])
array([ 2., 4., 6.])
See also
scipy.misc.derivative
Submodules |
-
core : Suite of tools to solve automatic numerical differentiation problems
in one or more variables.
-
info : Suite of tools to solve automatic numerical differentiation problems
in one or more variables.
-
license : Copyright (c) 2008, John D'Errico, Per A.
|