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The gradient
 and
Hessian
 of a
function f:
 are
the vector of its first partial derivatives and matrix of its second
partial derivatives:
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The Hessian is symmetric if the second partials are
continuous.
The Jacobian J
f of a function f:
is the matrix of its first partial derivatives.
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 Consider the function: h(x,y) = x2y.
Calculate its gradient at the point (2,5). [solution] |
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 Cholesky matrix
A lower-triangular matrix that acts as a matrix "square root" for a positive
definite matrix.
eigenvalue,
eigenvector Concepts from linear algebra.
interpolation Any procedure for fitting a function to a set of points in
such a manner that the function intercepts each of the points.
positive definite
matrix A real symmetric matrix, all of whose eigenvalues are real and positive.
Taylor
series expansion In calculus, a power series obtained as a
limit of Taylor polynomials that may approximate or equal the
function from which it is constructed. |
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http://www.riskglossary.com
copyright © Glyn A. Holton,
2006
Although the information in
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investment advice. |
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