Dakota Reference Manual  Version 6.10
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covariance


Determine how the final covariance matrix is computed

Specification

Alias: none

Argument(s): INTEGER

Default: 0 (no covariance)

Description

covariance (NL2SOL's covreq) specifies whether and how NL2SOL computes a final covariance matrix.

The desired covariance approximation:

  • 0 = default = none
  • 1 or -1 ==> $\sigma^2 H^{-1} J^T J H^{-1}$
  • 2 or -2 ==> $\sigma^2 H^{-1}$
  • 3 or -3 ==> $\sigma^2 (J^T J)^{-1}$
  • Negative values ==> estimate the final Hessian H by finite differences of function values only (using fd_hessian_step_size)
  • Positive values ==> differences of gradients (using fd_hessian_step_size)