starting work on a Numerical differenciation module

1 files changed, 95 insertions, 0 deletions

diff --git a/unsupported/test/NumericalDiff.cpp b/unsupported/test/NumericalDiff.cpp
new file mode 100644
index 000000000..1bc9e614a
--- /dev/null
+++ b/unsupported/test/NumericalDiff.cpp
@@ -0,0 +1,95 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009 Thomas Capricelli <orzel@freehackers.org>
+
+#include <stdio.h>
+
+#include "main.h"
+#include <unsupported/Eigen/NumericalDiff>
+    
+// Generic functor
+template<typename _Scalar, int NX=Dynamic, int NY=Dynamic>
+struct Functor
+{
+  typedef _Scalar Scalar;
+  enum {
+    InputsAtCompileTime = NX,
+    ValuesAtCompileTime = NY
+  };
+  typedef Matrix<Scalar,InputsAtCompileTime,1> InputType;
+  typedef Matrix<Scalar,ValuesAtCompileTime,1> ValueType;
+  typedef Matrix<Scalar,ValuesAtCompileTime,InputsAtCompileTime> JacobianType;
+  
+  int m_inputs, m_values;
+  
+  Functor() : m_inputs(InputsAtCompileTime), m_values(ValuesAtCompileTime) {}
+  Functor(int inputs, int values) : m_inputs(inputs), m_values(values) {}
+  
+  int inputs() const { return m_inputs; }
+  int values() const { return m_values; }
+
+};
+
+struct my_functor : Functor<double>
+{
+    my_functor(void): Functor<double>(3,15) {}
+    int operator()(const VectorXd &x, VectorXd &fvec) const
+    {
+        double tmp1, tmp2, tmp3;
+        double y[15] = {1.4e-1, 1.8e-1, 2.2e-1, 2.5e-1, 2.9e-1, 3.2e-1, 3.5e-1,
+            3.9e-1, 3.7e-1, 5.8e-1, 7.3e-1, 9.6e-1, 1.34, 2.1, 4.39};
+
+        for (int i = 0; i < values(); i++)
+        {
+            tmp1 = i+1;
+            tmp2 = 16 - i - 1;
+            tmp3 = (i>=8)? tmp2 : tmp1;
+            fvec[i] = y[i] - (x[0] + tmp1/(x[1]*tmp2 + x[2]*tmp3));
+        }
+        return 0;
+    }
+
+    int df(const VectorXd &x, MatrixXd &fjac) const
+    {
+        double tmp1, tmp2, tmp3, tmp4;
+        for (int i = 0; i < values(); i++)
+        {
+            tmp1 = i+1;
+            tmp2 = 16 - i - 1;
+            tmp3 = (i>=8)? tmp2 : tmp1;
+            tmp4 = (x[1]*tmp2 + x[2]*tmp3); tmp4 = tmp4*tmp4;
+            fjac(i,0) = -1;
+            fjac(i,1) = tmp1*tmp2/tmp4;
+            fjac(i,2) = tmp1*tmp3/tmp4;
+        }
+        return 0;
+    }
+};
+
+void test_forward()
+{
+    VectorXd x(3);
+    MatrixXd jac(15,3);
+    MatrixXd actual_jac(15,3);
+    my_functor functor;
+
+    x << 0.082, 1.13, 2.35;
+
+    // real one 
+    functor.df(x, actual_jac);
+//    std::cout << actual_jac << std::endl << std::endl;
+
+    // using NumericalDiff
+    NumericalDiff<my_functor> numDiff(functor);
+    numDiff.df(x, jac);
+//    std::cout << jac << std::endl;
+
+    VERIFY_IS_APPROX(jac, actual_jac);
+}
+
+
+void test_NumericalDiff()
+{
+    CALL_SUBTEST(test_forward());
+}