1 files changed, 50 insertions, 0 deletions
diff --git a/modules/optimization/macros/numdiff.sci b/modules/optimization/macros/numdiff.sci
new file mode 100755
index 000000000..53cc4daf4
--- /dev/null
+++ b/modules/optimization/macros/numdiff.sci
@@ -0,0 +1,50 @@
+// Scilab ( http://www.scilab.org/ ) - This file is part of Scilab
+// Copyright (C) INRIA
+//
+// This file must be used under the terms of the CeCILL.
+// This source file is licensed as described in the file COPYING, which
+// you should have received as part of this distribution.  The terms
+// are also available at
+// http://www.cecill.info/licences/Licence_CeCILL_V2.1-en.txt
+
+function %g=numdiff(%__func,%x,%dx)
+    warnobsolete("numderivative","6.0")
+    // given a function %__func from R^n to R^p
+    //computes the matrix g such as
+    //    [   d f    ]
+    //    [      i   ]
+    //g = [   ----   ]
+    // ij [   d x    ]
+    //    [      j   ]
+    // using finite difference methods
+    if type(%__func)==15 then
+        params=%__func;params(1)=null();
+        %__func=%__func(1)
+    else
+        params=list()
+    end
+    if type(%__func)==10 then //hard coded function given by its name
+        error(msprintf(gettext("%s: Hard coded function not allowed, create a Scilab function using call."),"numdiff"));
+    end
+
+    %x=%x(:);
+    %n=size(%x,"*")
+    if argn(2)<3 then
+        %dx=sqrt(%eps)*(1+1d-3*abs(%x))
+    end
+    if size(params)==0 then
+        %y0=%__func(%x)
+        %g(size(%y0,1),%n)=0
+        for %j=1:%n
+            %v=0*%x;%v(%j)=%dx(%j);
+            %g(:,%j)=(-%y0+%__func(%x+%v))/%dx(%j);
+        end
+    else
+        %y0=%__func(%x,params(:))
+        %g(size(%y0,1),%n)=0
+        for %j=1:%n
+            %v=0*%x;%v(%j)=%dx(%j);
+            %g(:,%j)=(-%y0+%__func(%x+%v,params(:)))/%dx(%j);
+        end
+    end
+endfunction