1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
|
// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2008-2009 Gael Guennebaud <g.gael@free.fr>
//
// Eigen is free software; you can redistribute it and/or
// modify it under the terms of the GNU Lesser General Public
// License as published by the Free Software Foundation; either
// version 3 of the License, or (at your option) any later version.
//
// Alternatively, you can redistribute it and/or
// modify it under the terms of the GNU General Public License as
// published by the Free Software Foundation; either version 2 of
// the License, or (at your option) any later version.
//
// Eigen is distributed in the hope that it will be useful, but WITHOUT ANY
// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the
// GNU General Public License for more details.
//
// You should have received a copy of the GNU Lesser General Public
// License and a copy of the GNU General Public License along with
// Eigen. If not, see <http://www.gnu.org/licenses/>.
#ifndef EIGEN_ADLOC_FORWARD
#define EIGEN_ADLOC_FORWARD
//--------------------------------------------------------------------------------
//
// This file provides support for adolc's adouble type in forward mode.
// ADOL-C is a C++ automatic differentiation library,
// see https://projects.coin-or.org/ADOL-C for more information.
//
// Note that the maximal number of directions is controlled by
// the preprocessor token NUMBER_DIRECTIONS. The default is 2.
//
//--------------------------------------------------------------------------------
#define ADOLC_TAPELESS
#ifndef NUMBER_DIRECTIONS
# define NUMBER_DIRECTIONS 2
#endif
#include <adolc/adouble.h>
// adolc defines some very stupid macros:
#if defined(malloc)
# undef malloc
#endif
#if defined(calloc)
# undef calloc
#endif
#if defined(realloc)
# undef realloc
#endif
#include <Eigen/Core>
namespace Eigen {
/** \ingroup Unsupported_modules
* \defgroup AdolcForward_Module Adolc forward module
* This module provides support for adolc's adouble type in forward mode.
* ADOL-C is a C++ automatic differentiation library,
* see https://projects.coin-or.org/ADOL-C for more information.
* It mainly consists in:
* - a struct Eigen::NumTraits<adtl::adouble> specialization
* - overloads of internal::* math function for adtl::adouble type.
*
* Note that the maximal number of directions is controlled by
* the preprocessor token NUMBER_DIRECTIONS. The default is 2.
*
* \code
* #include <unsupported/Eigen/AdolcSupport>
* \endcode
*/
//@{
} // namespace Eigen
// Eigen's require a few additional functions which must be defined in the same namespace
// than the custom scalar type own namespace
namespace adtl {
inline const adouble& conj(const adouble& x) { return x; }
inline const adouble& real(const adouble& x) { return x; }
inline adouble imag(const adouble&) { return 0.; }
inline adouble abs(const adouble& x) { return fabs(x); }
inline adouble abs2(const adouble& x) { return x*x; }
}
namespace Eigen {
template<> struct NumTraits<adtl::adouble>
: NumTraits<double>
{
typedef adtl::adouble Real;
typedef adtl::adouble NonInteger;
typedef adtl::adouble Nested;
enum {
IsComplex = 0,
IsInteger = 0,
IsSigned = 1,
RequireInitialization = 1,
ReadCost = 1,
AddCost = 1,
MulCost = 1
};
};
template<typename Functor> class AdolcForwardJacobian : public Functor
{
typedef adtl::adouble ActiveScalar;
public:
AdolcForwardJacobian() : Functor() {}
AdolcForwardJacobian(const Functor& f) : Functor(f) {}
// forward constructors
template<typename T0>
AdolcForwardJacobian(const T0& a0) : Functor(a0) {}
template<typename T0, typename T1>
AdolcForwardJacobian(const T0& a0, const T1& a1) : Functor(a0, a1) {}
template<typename T0, typename T1, typename T2>
AdolcForwardJacobian(const T0& a0, const T1& a1, const T1& a2) : Functor(a0, a1, a2) {}
typedef typename Functor::InputType InputType;
typedef typename Functor::ValueType ValueType;
typedef typename Functor::JacobianType JacobianType;
typedef Matrix<ActiveScalar, InputType::SizeAtCompileTime, 1> ActiveInput;
typedef Matrix<ActiveScalar, ValueType::SizeAtCompileTime, 1> ActiveValue;
void operator() (const InputType& x, ValueType* v, JacobianType* _jac) const
{
eigen_assert(v!=0);
if (!_jac)
{
Functor::operator()(x, v);
return;
}
JacobianType& jac = *_jac;
ActiveInput ax = x.template cast<ActiveScalar>();
ActiveValue av(jac.rows());
for (int j=0; j<jac.cols(); j++)
for (int i=0; i<jac.cols(); i++)
ax[i].setADValue(j, i==j ? 1 : 0);
Functor::operator()(ax, &av);
for (int i=0; i<jac.rows(); i++)
{
(*v)[i] = av[i].getValue();
for (int j=0; j<jac.cols(); j++)
jac.coeffRef(i,j) = av[i].getADValue(j);
}
}
protected:
};
//@}
}
#endif // EIGEN_ADLOC_FORWARD
|
