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Numerical Jacobian and Hessian in C++

Created Monday 13 February 2017

I made a library for calculating Jacobian and Hessian of a matrix numerically.
I use a perturbation method, however, I found the Hessian to be very sensitive to the given sampling rate.

Let's take an example of an equation with 2 outputs and 3 inputs:

the source code can be foud here: