vector-valued Hessian

[naodell]

I use the Hessian tool to calculate the covariance matrix of a cost function (NLL). The NLL is calculated for multiple categories of data and then combined in a single number currently, but I would like to be able to factorize the Hessian of the NLL to account for the variance in each of the data categories. I know I could carry it out in each category independently, but I would then lose sensitivity to the parameter's correlations between the individual categories of data.

I would be willing to try to carry out the implementation myself if you could provide some guidance on how to get started.

Thanks!

[pbrod]

Isn't that what the Hessian wrapper class do already? The Hessian wrapper computes the Hessian matrix of the scalar function f with respect to a vector constructed from all variables (data categories) found in f: