covariance

Determine how the final covariance matrix is computed

Specification

• Alias: None

• Arguments: INTEGER

• Default: 0 (no covariance)

Description

covariance (NL2SOL’s covreq) specifies whether and how NL2SOL computes a final covariance matrix.

The desired covariance approximation:

• 0 = default = none

• 1 or -1 ==> ${\sigma }^2{H}^{-1}{J}^{T}J{H}^{-1}$

• 2 or -2 ==> ${\sigma }^2{H}^{-1}$

• 3 or -3 ==> ${\sigma }^2(J^{T}J{)}^{-1}$

• Negative values ==> estimate the final Hessian H by finite differences of function values only (using fd_hessian_step_size)

• Positive values ==> differences of gradients (using fd_hessian_step_size)