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
|
// -*- coding: utf-8
// vim: set fileencoding=utf-8
// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2009 Thomas Capricelli <orzel@freehackers.org>
//
// This Source Code Form is subject to the terms of the Mozilla
// Public License v. 2.0. If a copy of the MPL was not distributed
// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
#ifndef EIGEN_NUMERICAL_DIFF_H
#define EIGEN_NUMERICAL_DIFF_H
namespace Eigen {
enum NumericalDiffMode {
Forward,
Central
};
/**
* This class allows you to add a method df() to your functor, which will
* use numerical differentiation to compute an approximate of the
* derivative for the functor. Of course, if you have an analytical form
* for the derivative, you should rather implement df() by yourself.
*
* More information on
* http://en.wikipedia.org/wiki/Numerical_differentiation
*
* Currently only "Forward" and "Central" scheme are implemented.
*/
template<typename _Functor, NumericalDiffMode mode=Forward>
class NumericalDiff : public _Functor
{
public:
typedef _Functor Functor;
typedef typename Functor::Scalar Scalar;
typedef typename Functor::InputType InputType;
typedef typename Functor::ValueType ValueType;
typedef typename Functor::JacobianType JacobianType;
NumericalDiff(Scalar _epsfcn=0.) : Functor(), epsfcn(_epsfcn) {}
NumericalDiff(const Functor& f, Scalar _epsfcn=0.) : Functor(f), epsfcn(_epsfcn) {}
// forward constructors
template<typename T0>
NumericalDiff(const T0& a0) : Functor(a0), epsfcn(0) {}
template<typename T0, typename T1>
NumericalDiff(const T0& a0, const T1& a1) : Functor(a0, a1), epsfcn(0) {}
template<typename T0, typename T1, typename T2>
NumericalDiff(const T0& a0, const T1& a1, const T2& a2) : Functor(a0, a1, a2), epsfcn(0) {}
enum {
InputsAtCompileTime = Functor::InputsAtCompileTime,
ValuesAtCompileTime = Functor::ValuesAtCompileTime
};
/**
* return the number of evaluation of functor
*/
int df(const InputType& _x, JacobianType &jac) const
{
using std::sqrt;
using std::abs;
/* Local variables */
Scalar h;
int nfev=0;
const typename InputType::Index n = _x.size();
const Scalar eps = sqrt(((std::max)(epsfcn,NumTraits<Scalar>::epsilon() )));
ValueType val1, val2;
InputType x = _x;
// TODO : we should do this only if the size is not already known
val1.resize(Functor::values());
val2.resize(Functor::values());
// initialization
switch(mode) {
case Forward:
// compute f(x)
Functor::operator()(x, val1); nfev++;
break;
case Central:
// do nothing
break;
default:
eigen_assert(false);
};
// Function Body
for (int j = 0; j < n; ++j) {
h = eps * abs(x[j]);
if (h == 0.) {
h = eps;
}
switch(mode) {
case Forward:
x[j] += h;
Functor::operator()(x, val2);
nfev++;
x[j] = _x[j];
jac.col(j) = (val2-val1)/h;
break;
case Central:
x[j] += h;
Functor::operator()(x, val2); nfev++;
x[j] -= 2*h;
Functor::operator()(x, val1); nfev++;
x[j] = _x[j];
jac.col(j) = (val2-val1)/(2*h);
break;
default:
eigen_assert(false);
};
}
return nfev;
}
private:
Scalar epsfcn;
NumericalDiff& operator=(const NumericalDiff&);
};
} // end namespace Eigen
//vim: ai ts=4 sts=4 et sw=4
#endif // EIGEN_NUMERICAL_DIFF_H
|
