#ifndef DEF_AUTOMATIC_DIFFERENTIATION #define DEF_AUTOMATIC_DIFFERENTIATION #include #include #include #include template std::ostream & operator<<(std::ostream & out, std::valarray const& v) { for(size_t i = 0 ; i < v.size() ; i++) out << v[i] << " "; return out; } #define MINAB(a, b) (((a) < (b)) ? (a) : (b)) /// Implementation of dual numbers for automatic differentiation. /// This implementation uses vectors for b so that function gradients can be computed in one function call. /// Set the index of every variable with the ::d(int i) function and call the function to be computed : f(x+DualVector::d(0), y+DualVector::d(1), z+DualVector::d(2), ...) /// reference : http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.89.7749&rep=rep1&type=pdf template class DualVector { public: using VectorT = std::valarray; static VectorT __create_VectorT_zeros(int N = 1) { assert(N >= 0); VectorT res(Scalar(0.), N); return res; } DualVector(const Scalar & _a = Scalar(0.), const VectorT & _b = DualVector::__create_VectorT_zeros()) : a(_a), b(_b) {} DualVector const& operator=(Scalar const& _a) { *this = DualVector(_a); } /// Use this function to set what variable is to be derived : x + DualVector::d(i) static DualVector D(int i = 0, int N = 1) { assert(i >= 0); assert(i < N); VectorT _d = DualVector::__create_VectorT_zeros(N); _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, int N = 1) { assert(i >= 0); assert(i < N); if(N != b.size()) { // copy old data into new b vector VectorT b_old = b; b.resize(N); for(size_t j = 0 ; j < MINAB(b.size(), b_old.size()) ; j++) b[j] = b_old[j]; } b[i] = Scalar(1.); return *this; } /// Returns the value Scalar const& x() const { return a; } /// Returns the value Scalar & x() { return a; } /// Returns the derivative value at index i Scalar const& d(int i) const { assert(i >= 0); assert(i < b.size()); return b[i]; } /// Returns the derivative value at index i Scalar & d(int i) { assert(i >= 0); assert(i < b.size()); return b[i]; } DualVector & operator+=(const DualVector & x) { a += x.a; b += x.b; return *this; } DualVector & operator-=(const DualVector & x) { a -= x.a; b -= x.b; return *this; } DualVector & operator*=(const DualVector & x) { b = a*x.b + b*x.a; a *= x.a; return *this; } DualVector & operator/=(const DualVector & x) { b = (x.a*b - a*x.b)/(x.a*x.a); a /= x.a; return *this; } DualVector & operator++() { // ++x return ((*this) += Scalar(1.)); } DualVector & operator--() { // --x return ((*this) -= Scalar(1.)); } DualVector operator++(int) { // x++ DualVector copy = *this; (*this) += Scalar(1.); return copy; } DualVector operator--(int) { // x-- DualVector copy = *this; (*this) -= Scalar(1.); return copy; } DualVector operator+(const DualVector & x) const { DualVector res(*this); return (res += x); } DualVector operator+(void) const // +x { return (*this); } DualVector operator-(const DualVector & x) const { DualVector res(*this); return (res -= x); } DualVector operator-(void) const // -x { return DualVector(-a, -b); } DualVector operator*(const DualVector & x) const { DualVector res(*this); return (res *= x); } DualVector operator/(const DualVector & x) const { DualVector res(*this); return (res /= x); } bool operator==(const DualVector & x) const { return (a == x.a); } bool operator!=(const DualVector & x) const { return (a != x.a); } bool operator<(const DualVector & x) const { return (a < x.a); } bool operator<=(const DualVector & x) const { return (a <= x.a); } bool operator>(const DualVector & x) const { return (a > x.a); } bool operator>=(const DualVector & x) const { return (a >= x.a); } Scalar a; /// Real part VectorT b; /// Infinitesimal parts }; template DualVector operator+(A const& v, DualVector const& x) { return (DualVector(v) + x); } template DualVector operator-(A const& v, DualVector const& x) { return (DualVector(v) - x); } template DualVector operator*(A const& v, DualVector const& x) { return (DualVector(v) * x); } template DualVector operator/(A const& v, DualVector const& x) { return (DualVector(v) / x); } // Basic mathematical functions for Scalar numbers // Trigonometric functions template Scalar sec(const Scalar & x) { return Scalar(1.)/cos(x); } template Scalar cot(const Scalar & x) { return cos(x)/sin(x); } template Scalar csc(const Scalar & x) { return Scalar(1.)/sin(x); } // Inverse trigonometric functions template Scalar asec(const Scalar & x) { return acos(Scalar(1.)/x); } template Scalar acot(const Scalar & x) { return atan(Scalar(1.)/x); } template Scalar acsc(const Scalar & x) { return asin(Scalar(1.)/x); } // Hyperbolic trigonometric functions template Scalar sech(const Scalar & x) { return Scalar(1.)/cosh(x); } template Scalar coth(const Scalar & x) { return cosh(x)/sinh(x); } template Scalar csch(const Scalar & x) { return Scalar(1.)/sinh(x); } // Inverse hyperbolic trigonometric functions template Scalar asech(const Scalar & x) { return log((Scalar(1.) + sqrt(Scalar(1.) - x*x))/x); } template Scalar acoth(const Scalar & x) { return Scalar(0.5)*log((x + Scalar(1.))/(x - Scalar(1.))); } template Scalar acsch(const Scalar & x) { return (x >= Scalar(0.)) ? log((Scalar(1.) + sqrt(Scalar(1.) + x*x))/x) : log((Scalar(1.) - sqrt(Scalar(1.) + x*x))/x); } // Other functions template Scalar exp10(const Scalar & x) { return exp(x*log(Scalar(10.))); } template Scalar sign(const Scalar & x) { return (x >= Scalar(0.)) ? ((x > Scalar(0.)) ? Scalar(1.) : Scalar(0.)) : Scalar(-1.); } template Scalar heaviside(const Scalar & x) { return Scalar(x >= Scalar(0.)); } template Scalar abs(const Scalar & x) { return (x >= Scalar(0.)) ? x : -x; } // Basic mathematical functions for DualVector numbers // f(a + b*d) = f(a) + b*f'(a)*d // Trigonometric functions template DualVector cos(const DualVector & x) { return DualVector(cos(x.a), -x.b*sin(x.a)); } template DualVector sin(const DualVector & x) { return DualVector(sin(x.a), x.b*cos(x.a)); } template DualVector tan(const DualVector & x) { return DualVector(tan(x.a), x.b*sec(x.a)*sec(x.a)); } template DualVector sec(const DualVector & x) { return DualVector(sec(x.a), x.b*sec(x.a)*tan(x.a)); } template DualVector cot(const DualVector & x) { return DualVector(cot(x.a), x.b*(-csc(x.a)*csc(x.a))); } template DualVector csc(const DualVector & x) { return DualVector(csc(x.a), x.b*(-cot(x.a)*csc(x.a))); } // Inverse trigonometric functions template DualVector acos(const DualVector & x) { return DualVector(acos(x.a), x.b*(-Scalar(1.)/sqrt(Scalar(1.)-x.a*x.a))); } template DualVector asin(const DualVector & x) { return DualVector(asin(x.a), x.b*(Scalar(1.)/sqrt(Scalar(1.)-x.a*x.a))); } template DualVector atan(const DualVector & x) { return DualVector(atan(x.a), x.b*(Scalar(1.)/(x.a*x.a + Scalar(1.)))); } template DualVector asec(const DualVector & x) { return DualVector(asec(x.a), x.b*(Scalar(1.)/(sqrt(Scalar(1.)-Scalar(1.)/(x.a*x.a))*(x.a*x.a)))); } template DualVector acot(const DualVector & x) { return DualVector(acot(x.a), x.b*(-Scalar(1.)/((x.a*x.a)+Scalar(1.)))); } template DualVector acsc(const DualVector & x) { return DualVector(acsc(x.a), x.b*(-Scalar(1.)/(sqrt(Scalar(1.)-Scalar(1.)/(x.a*x.a))*(x.a*x.a)))); } // Hyperbolic trigonometric functions template DualVector cosh(const DualVector & x) { return DualVector(cosh(x.a), x.b*sinh(x.a)); } template DualVector sinh(const DualVector & x) { return DualVector(sinh(x.a), x.b*cosh(x.a)); } template DualVector tanh(const DualVector & x) { return DualVector(tanh(x.a), x.b*sech(x.a)*sech(x.a)); } template DualVector sech(const DualVector & x) { return DualVector(sech(x.a), x.b*(-sech(x.a)*tanh(x.a))); } template DualVector coth(const DualVector & x) { return DualVector(coth(x.a), x.b*(-csch(x.a)*csch(x.a))); } template DualVector csch(const DualVector & x) { return DualVector(csch(x.a), x.b*(-coth(x.a)*csch(x.a))); } // Inverse hyperbolic trigonometric functions template DualVector acosh(const DualVector & x) { return DualVector(acosh(x.a), x.b*(Scalar(1.)/sqrt((x.a*x.a)-Scalar(1.)))); } template DualVector asinh(const DualVector & x) { return DualVector(asinh(x.a), x.b*(Scalar(1.)/sqrt((x.a*x.a)+Scalar(1.)))); } template DualVector atanh(const DualVector & x) { return DualVector(atanh(x.a), x.b*(Scalar(1.)/(Scalar(1.)-(x.a*x.a)))); } template DualVector asech(const DualVector & x) { return DualVector(asech(x.a), x.b*(Scalar(-1.)/(sqrt(Scalar(1.)/(x.a*x.a)-Scalar(1.))*(x.a*x.a)))); } template DualVector acoth(const DualVector & x) { return DualVector(acoth(x.a), x.b*(-Scalar(1.)/((x.a*x.a)-Scalar(1.)))); } template DualVector acsch(const DualVector & x) { return DualVector(acsch(x.a), x.b*(-Scalar(1.)/(sqrt(Scalar(1.)/(x.a*x.a)+Scalar(1.))*(x.a*x.a)))); } // Exponential functions template DualVector exp(const DualVector & x) { return DualVector(exp(x.a), x.b*exp(x.a)); } template DualVector log(const DualVector & x) { return DualVector(log(x.a), x.b/x.a); } template DualVector exp10(const DualVector & x) { return DualVector(exp10(x.a), x.b*(log(Scalar(10.))*exp10(x.a))); } template DualVector log10(const DualVector & x) { return DualVector(log10(x.a), x.b/(log(Scalar(10.))*x.a)); } template DualVector exp2(const DualVector & x) { return DualVector(exp2(x.a), x.b*(log(Scalar(2.))*exp2(x.a))); } template DualVector log2(const DualVector & x) { return DualVector(log2(x.a), x.b/(log(Scalar(2.))*x.a)); } template DualVector pow(const DualVector & x, const DualVector & n) { return exp(n*log(x)); } // Other functions template DualVector sqrt(const DualVector & x) { return DualVector(sqrt(x.a), x.b/(Scalar(2.)*sqrt(x.a))); } template DualVector sign(const DualVector & x) { return DualVector(sign(x.a), DualVector::DualVector::__create_VectorT_zeros()); } template DualVector abs(const DualVector & x) { return DualVector(abs(x.a), x.b*sign(x.a)); } template DualVector fabs(const DualVector & x) { return DualVector(fabs(x.a), x.b*sign(x.a)); } template DualVector heaviside(const DualVector & x) { return DualVector(heaviside(x.a), DualVector::DualVector::__create_VectorT_zeros()); } template DualVector floor(const DualVector & x) { return DualVector(floor(x.a), DualVector::DualVector::__create_VectorT_zeros()); } template DualVector ceil(const DualVector & x) { return DualVector(ceil(x.a), DualVector::DualVector::__create_VectorT_zeros()); } template DualVector round(const DualVector & x) { return DualVector(round(x.a), DualVector::DualVector::__create_VectorT_zeros()); } template std::ostream & operator<<(std::ostream & s, const DualVector & x) { return (s << x.a); } #endif