estimagic
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Implement numerical second derivative
Desired Situation
- We can calculate the second derivative of vector and scalar valued functions that take parameters as numpy arrays or DataFrames
- The three standard hessian formulae are supported. See ridout for formulae and statsmodels for a code example. We do not need complex steps.
- Function evaluations are done in parallel
- Interface and additional outputs similar to
first_derivative - Richardson extrapolation
- Check if it is possible to reuse evaluations returned by
first_derivative
Proposed implementation
I suggest to do several independent PRs for this
- [x] Add basic functionality without richardson extrapolation building on the step generation functions we also use for first derivatives. It is important to design the code analogous to
first_derivative, i.e. with parallel function evaluation and richardson extrapolation in mind. For now focus on numpy array interface. - [x] Add pandas interface, dict outputs of func and error handling as in
first_derivative - [ ] Add richardson extrapolation
- [ ] Add intermediate outputs and visualization