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From |
Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Mata computes the second derivative of x^2 as 1.9. |

Date |
Sat, 4 Aug 2012 23:15:40 -0700 |

As with any numerical approximation procedure, there are tuning parameters. Resetting the bounds for the optimal parameter (scale) search works for your simple example *--------------------------------------- mata: mata clear void f(p,v){ v = p^2 } D = deriv_init() deriv_init_bounds(D, (1e-5, 1e-4)) deriv_init_evaluator(D, &f()) deriv_init_params(D, 0.5) deriv(D,2) deriv_result_delta(D) end *--------------------------------------- [M] and the references there contain more information. For more complex multiparameter nonlinear problems, you should look at a numerical analysis text. T On Sat, Aug 4, 2012 at 8:22 PM, Patrick Roland <patrick.rolande@gmail.com> wrote: > Perhaps someone might be able to explain this anomaly. The following > code finds the second derivative of x^2 evaluated at 0.5, which should > of course be 2. > > > mata: > > void f(p,v){ > v = p^2 > } > D = deriv_init() > deriv_init_evaluator(D, &f()) > deriv_init_params(D, 0.5) > deriv(D,2) > > end > > Instead, in both Stata 11.2 and 12.1, the answer is 1.906569171. > > I'm trying to compute the Hessian of a complicated nonlinear function > of several hundred arguments. It appears that Mata cannot correctly > find the second derivative of x^2. This does not inspire confidence. > > Hopefully I'm overlooking something simple here, in which case I would > greatly appreciate a correction. > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ -- Tirthankar Chakravarty tchakravarty@ucsd.edu tirthankar.chakravarty@gmail.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Mata computes the second derivative of x^2 as 1.9.***From:*Patrick Roland <patrick.rolande@gmail.com>

**References**:**st: Mata computes the second derivative of x^2 as 1.9.***From:*Patrick Roland <patrick.rolande@gmail.com>

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