Verifying analytical Hessians

When using optimization functions which require Hessians, it’s easy to mess up the math and end up with incorrect second derivatives. While Matlab’s optimization toolbox offers the DerivativeCheck option for checking gradients, it doesn’t work on Hessians. This nice package available on Matlab Central will compute Hessians numerically, so you can easily double check your analytically-derived Hessian.

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