ENH: optimize._hessian: use _jacobian to compute accurate Hessian #20708
+322
−44
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Reference issue
Follow-up to gh-20630
What does this implement/fix?
Adds a private function to compute accurate Hessians using a finite difference approximation. Vectorized to compute Hessian at an arbitrary number of points in a single call.
Additional information
To do eventually:
_jacobian
). It doesn't look likenfev
is correct. Fixed: only sum the innernfev
counts for the firstnit
outer iterations.Improve error estimate by considering error ofJust tighten tolerance of inner Jacobian. In the future we can use a legit 2-D stencil._jacobian
.