MATLAB: How to use the Finite Difference Method to get the gradient

fdm

Hi there,
I need to calculate the gradient (partial derivative) of a function. I found that Matlab has got a '.p' file/function called 'finitedifferences' to do this.
However, I am not sure how to use it. For example, I found that Matlab do it like,
[gradFd,~,~,numEvals] = finitedifferences(x,funfcn{3},[],[],[],f,[],[], ...
        1:numberOfVariables,finDiffOpts,sizes,gradFd,[],[],finDiffFlags,[],varargin{:});
but what is funfcn{3} here?
Suppose I have a simple function like,
function F = myfun(x)
F = sin(x) + 3;
in which, x is a vector contains 6 elements. Then how to use the finitedifferences to get the gradient w.r.t each of this 6 elements? Thanks very much!
wbr, Aaron

Best Answer

Here is an example of a function that uses gradest correctly:
function [F, g] = myfun(x)
fun = @(y) 2*sum(sin(y)) + 3;
F = fun(x);
g = gradest(fun,x);
The key differences are:
  1. the name of the function fun is different from myfun
  2. fun and its gradient are both evaluated at x.
Also, I have made it more efficient in a couple of other ways. Now you can test this directly using:
x = rand(4,1);
ganalytic = 2*cos(x)'; % This is the analytic gradient
[F,g] = myfun(x);
max(abs(g-ganalytic))
The last line tells you the maximum difference between the analytic and numerical gradients.
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