1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
|
function [r, J] = jacobian(fun, x, h)
% Returns the Jacobian matrix associated to a function.
%
% INPUTS:
% - fun [handle] Function from Rᵖ to Rⁿ.
% - x [double] 1×p vector, point where the Jacobian has to be evaluated.
% - h [double] scalar, perturbation size.
%
% OUTPUTS:
% - r [double] n×1 vector, value of the function at point x.
% - J [double] n×p matrix of derivatives.
r = fun(x);
if nargout>1
z = x;
n = length(r);
p = length(x);
J = zeros(n, p);
for i=1:p
x = z;
x(i) = x(i)+h;
J(:,i) = (r-fun(x))/h;
end
end
|
