Accurate Numerical Derivatives

Methods for calculating (usually) accurate numerical first and second order derivatives. Accurate calculations are done using 'Richardson''s' extrapolation or, when applicable, a complex step derivative is available. A simple difference method is also provided. Simple difference is (usually) less accurate but is much quicker than 'Richardson''s' extrapolation and provides a useful cross-check. Methods are provided for real scalar and vector valued functions.


Reference manual

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install.packages("numDeriv")

2016.8-1.1 by Paul Gilbert, 7 years ago


http://optimizer.r-forge.r-project.org/


Browse source code at https://github.com/cran/numDeriv


Authors: Paul Gilbert and Ravi Varadhan


Documentation:   PDF Manual  


GPL-2 license



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