Changed vector type from eigen to valarray. added function diff(int i) to set the derivatives more easily. Created a small test file to check the changes. automated vector tests are not updated yet

AutomaticDifferentiationVector.hpp

@@ -1,10 +1,19 @@
 #ifndef DEF_AUTOMATIC_DIFFERENTIATION
 #define DEF_AUTOMATIC_DIFFERENTIATION
 
+#include <assert.h>
 #include <cmath>
 #include <ostream>
 
-#include <Eigen/Dense>
+#include <valarray>
+
+template<typename T>
+std::ostream & operator<<(std::ostream & out, std::valarray<T> const& v)
+{
+	for(size_t i = 0 ; i < v.size() ; i++)
+		out << v[i] << " ";
+	return out;
+}
 
 /// Implementation of dual numbers for automatic differentiation.
 /// This implementation uses vectors for b so that function gradients can be computed in one function call.
@@ -14,9 +23,15 @@ template<typename Scalar, int N>
 class DualVector
 {
 	public:
-		using VectorT = Eigen::Matrix<Scalar, N, 1>;
+		using VectorT = std::valarray<Scalar>;
 		
-		DualVector(const Scalar & _a, const VectorT & _b = VectorT::Zero())
+		static VectorT __create_VectorT_zeros()
+		{
+			VectorT res(Scalar(0.), N);
+			return res;
+		}
+
+		DualVector(const Scalar & _a, const VectorT & _b = DualVector::__create_VectorT_zeros())
 			: a(_a),
 			  b(_b)
 			  {}
@@ -27,14 +42,25 @@ class DualVector
 			b.fill(_b);
 		}
 		
+		/// Use this function to set what variable is to be derived : x + DualVector::d(i)
 		static DualVector d(int i = 0)
 		{
 			assert(i >= 0);
 			assert(i < N);
-			VectorT _d = VectorT::Zero();
+			VectorT _d = DualVector::__create_VectorT_zeros();
 			_d[i] = Scalar(1.);
 			return DualVector(Scalar(0.), _d);
 		}
+
+		/// Use this function to set what variable is to be derived.
+		DualVector const& diff(int i = 0)
+		{
+			assert(i >= 0);
+			assert(i < N);
+			b = DualVector::__create_VectorT_zeros();
+			b[i] = Scalar(1.);
+			return *this;
+		}
 		
 		DualVector & operator+=(const DualVector & x)
 		{
@@ -305,7 +331,7 @@ template<typename Scalar, int N> DualVector<Scalar, N> sqrt(const DualVector<Sca
 }
 
 template<typename Scalar, int N> DualVector<Scalar, N> sign(const DualVector<Scalar, N> & x) {
-	return DualVector<Scalar, N>(sign(x.a), DualVector<Scalar, N>::VectorT::Zero());
+	return DualVector<Scalar, N>(sign(x.a), DualVector<Scalar, N>::DualVector::__create_VectorT_zeros());
 }
 
 template<typename Scalar, int N> DualVector<Scalar, N> abs(const DualVector<Scalar, N> & x) {
@@ -313,19 +339,19 @@ template<typename Scalar, int N> DualVector<Scalar, N> abs(const DualVector<Scal
 }
 
 template<typename Scalar, int N> DualVector<Scalar, N> heaviside(const DualVector<Scalar, N> & x) {
-	return DualVector<Scalar, N>(heaviside(x.a), DualVector<Scalar, N>::VectorT::Zero());
+	return DualVector<Scalar, N>(heaviside(x.a), DualVector<Scalar, N>::DualVector::__create_VectorT_zeros());
 }
 
 template<typename Scalar, int N> DualVector<Scalar, N> floor(const DualVector<Scalar, N> & x) {
-	return DualVector<Scalar, N>(floor(x.a), DualVector<Scalar, N>::VectorT::Zero());
+	return DualVector<Scalar, N>(floor(x.a), DualVector<Scalar, N>::DualVector::__create_VectorT_zeros());
 }
 
 template<typename Scalar, int N> DualVector<Scalar, N> ceil(const DualVector<Scalar, N> & x) {
-	return DualVector<Scalar, N>(ceil(x.a), DualVector<Scalar, N>::VectorT::Zero());
+	return DualVector<Scalar, N>(ceil(x.a), DualVector<Scalar, N>::DualVector::__create_VectorT_zeros());
 }
 
 template<typename Scalar, int N> DualVector<Scalar, N> round(const DualVector<Scalar, N> & x) {
-	return DualVector<Scalar, N>(round(x.a), DualVector<Scalar, N>::VectorT::Zero());
+	return DualVector<Scalar, N>(round(x.a), DualVector<Scalar, N>::DualVector::__create_VectorT_zeros());
 }
 
 template<typename Scalar, int N> std::ostream & operator<<(std::ostream & s, const DualVector<Scalar, N> & x)

Makefile

@@ -0,0 +1,36 @@
+CXX = g++
+INCLUDE = -I../Catch2-master/single_include
+CFLAGS = -Wall -std=c++11 -O0 -fprofile-arcs -ftest-coverage $(INCLUDE)
+LDFLAGS = -lgcov
+LDFLAGS_ALL = $(LDFLAGS)
+OUTPUT_NAME = test_AutomaticDifferentiation
+
+# scalar version
+test_AutomaticDifferentiation:test_AutomaticDifferentiation.o test_AutomaticDifferentiation_main.o
+	$(CXX) -o $(OUTPUT_NAME) test_AutomaticDifferentiation.o test_AutomaticDifferentiation_main.o $(LDFLAGS_ALL)
+
+test_AutomaticDifferentiation_manual:test_AutomaticDifferentiation_manual.o
+	$(CXX) -o $(OUTPUT_NAME) test_AutomaticDifferentiation_manual.o $(LDFLAGS_ALL)
+
+test_AutomaticDifferentiation_main.o: test_AutomaticDifferentiation_main.cpp
+	$(CXX) $(CFLAGS) $(LDFLAGS) -c test_AutomaticDifferentiation_main.cpp
+
+test_AutomaticDifferentiation.o: test_AutomaticDifferentiation.cpp
+	$(CXX) $(CFLAGS) $(LDFLAGS) -c test_AutomaticDifferentiation.cpp
+
+test_AutomaticDifferentiation_manual.o: test_AutomaticDifferentiation_manual.cpp
+	$(CXX) $(CFLAGS) $(LDFLAGS) -c test_AutomaticDifferentiation_manual.cpp
+
+# Vector version
+test_AutomaticDifferentiation_vector:test_AutomaticDifferentiation_vector.o
+	$(CXX) -o test_AutomaticDifferentiation_vector.exe test_AutomaticDifferentiation_vector.o $(LDFLAGS_ALL)
+
+test_AutomaticDifferentiation_vector.o: test_AutomaticDifferentiation_vector.cpp
+	$(CXX) $(CFLAGS) $(LDFLAGS) -c test_AutomaticDifferentiation_vector.cpp
+
+clean:
+	rm *.o
+
+cleaner:
+	rm *.o
+	rm $(OUTPUT_NAME)

test_vector_version_additions_manual.cpp

@@ -0,0 +1,94 @@
+#include "AutomaticDifferentiationVector.hpp"
+
+#include <iostream>
+#include <iomanip>
+using std::cout;
+using std::endl;
+using std::setw;
+#define PRINT_VAR(x) std::cout << #x << "\t= " << std::setprecision(16) << (x) << std::endl
+#define PRINT_DUAL(x) std::cout << #x << "\t= " << std::fixed << std::setprecision(4) << std::setw(10) << (x).a << ", " << std::setw(10) << (x).b << std::endl
+
+#define TEST_EQ_TOL 1e-9
+// #define TEST_FUNCTION_ON_DUAL_DOUBLE(fct, x) assert(fct(Dual<double>(x)).a == fct(x))
+// #define TEST_FUNCTION_ON_DUAL_DOUBLE(fct, x) assert(abs((fct(Dual<double>((x))).a) - (fct((x)))) <= TEST_EQ_TOL)
+#define TEST_EQ_DOUBLE(a, b) assert(std::abs((a) - (b)) <= TEST_EQ_TOL)
+
+template<typename Scalar>
+Scalar f1(const Scalar & x)
+{
+	return Scalar(5.)*x*x*x + Scalar(3.)*x*x - Scalar(2.)*x + Scalar(4.);
+}
+
+template<typename Scalar>
+Scalar df1(const Scalar & x)
+{
+	return Scalar(15.)*x*x + Scalar(6.)*x - Scalar(2.);
+}
+
+template<typename Scalar>
+Scalar f3(const Scalar & x, const Scalar & y, const Scalar & z)
+{
+	return sqrt(z*z+y*y+x*x);
+}
+
+template<typename Scalar>
+Scalar df3x(const Scalar & x, const Scalar & y, const Scalar & z)
+{
+	return x/sqrt(z*z+y*y+x*x);
+}
+
+template<typename Scalar>
+Scalar df3y(const Scalar & x, const Scalar & y, const Scalar & z)
+{
+	return y/sqrt(z*z+y*y+x*x);
+}
+
+template<typename Scalar>
+Scalar df3z(const Scalar & x, const Scalar & y, const Scalar & z)
+{
+	return z/sqrt(z*z+y*y+x*x);
+}
+
+int main()
+{
+	// 1 var function
+	{
+		DualVector<double, 1> x = 1.54;
+		
+		PRINT_DUAL(x);
+		x.diff(0);
+		PRINT_DUAL(x);
+
+		auto y = f1(x);
+
+		PRINT_VAR(x);
+		PRINT_DUAL(y);
+		PRINT_VAR(y.b);
+		PRINT_VAR(df1(x.a));
+
+		TEST_EQ_DOUBLE(df1(x.a), y.b[0]);
+	}
+
+	// 3 var function
+	{
+		DualVector<double,3> x(2.), y(3.), z(-1.5);
+		x.diff(0);
+		y.diff(1);
+		z.diff(2);
+		auto res = f3(x, y, z);
+
+		PRINT_DUAL(res);
+		PRINT_VAR(res.b[0]);
+		PRINT_VAR(res.b[1]);
+		PRINT_VAR(res.b[2]);
+		PRINT_VAR(df3x(x.a, y.a, z.a));
+		PRINT_VAR(df3y(x.a, y.a, z.a));
+		PRINT_VAR(df3z(x.a, y.a, z.a));
+
+		TEST_EQ_DOUBLE(res.b[0], df3x(x.a, y.a, z.a));
+		TEST_EQ_DOUBLE(res.b[1], df3y(x.a, y.a, z.a));
+		TEST_EQ_DOUBLE(res.b[2], df3z(x.a, y.a, z.a));
+	}
+
+	return 0;
+}