Calculate the Hessian using central differences
Calculate the Hessian using central differences
H_{i,j} = \lim_h -> 0 ((f'(x_{i} + h*e_{j}) - f'(x_{i} + h*e_{j}))/4*h + (f'(x_{j} + h*e_{i}) - f'(x_{j} + h*e_{i}))/4*h)
where e_{i} is the unit vector with 1 in the i^^th position and zeros elsewhere
differentiable function
the point we compute the hessian for
a small value
Approximate hessian matrix