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function [f,g,H] = autoHess(x,useComplex,funObj,varargin)
% Numerically compute Hessian of objective function from gradient values
p = length(x);
if useComplex % Use Complex Differentials
mu = 1e-150;
diff = zeros(p);
for j = 1:p
e_j = zeros(p,1);
e_j(j) = 1;
[f(j) diff(:,j)] = funObj(x + mu*i*e_j,varargin{:});
end
f = mean(real(f));
g = mean(real(diff),2);
H = imag(diff)/mu;
else % Use finite differencing
mu = 2*sqrt(1e-12)*(1+norm(x))/norm(p);
[f,g] = funObj(x,varargin{:});
diff = zeros(p);
for j = 1:p
e_j = zeros(p,1);
e_j(j) = 1;
[f diff(:,j)] = funObj(x + mu*e_j,varargin{:});
end
H = (diff-repmat(g,[1 p]))/mu;
end
% Make sure H is symmetric
H = (H+H')/2;
if 0 % DEBUG CODE
[fReal gReal HReal] = funObj(x,varargin{:});
[fReal f]
[gReal g]
[HReal H]
pause;
end |