finite_differences.h

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/*********************************************************************
 *
 *  Software License Agreement
 *
 *  Copyright (c) 2020,
 *  TU Dortmund - Institute of Control Theory and Systems Engineering.
 *  All rights reserved.
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 *  This program is free software: 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 3 of the License, or
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 *  but WITHOUT ANY WARRANTY; without even the implied warranty of
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 *  GNU General Public License for more details.
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 *  Authors: Christoph Rösmann
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#ifndef SRC_NUMERICS_INCLUDE_CORBO_NUMERICS_FINITE_DIFFERENCES_H_
#define SRC_NUMERICS_INCLUDE_CORBO_NUMERICS_FINITE_DIFFERENCES_H_
 
#include <corbo-numerics/finite_differences_interface.h>
 
#include <functional>
#include <memory>
 
namespace corbo {
 
class ForwardDifferences : public FiniteDifferencesInterface
{
 public:
    // Implements interface method
    FiniteDifferencesInterface::Ptr getInstance() const override { return std::make_shared<ForwardDifferences>(); }
 
    template <typename IncFun, typename EvalFun>
    static void jacobian(IncFun inc_fun, EvalFun eval_fun, Eigen::Ref<Eigen::MatrixXd> jacobian);
 
    template <typename IncFun, typename EvalFun>
    static void hessian(IncFun inc_fun, EvalFun eval_fun, int dim_f, Eigen::Ref<Eigen::MatrixXd> hessian, const double* multipliers = nullptr);
 
    template <typename IncFun, typename EvalFun>
    void jacobianHessian(IncFun inc_fun, EvalFun eval_fun, Eigen::Ref<Eigen::MatrixXd> jacobian, Eigen::Ref<Eigen::MatrixXd> hessian,
                         const double* multipliers = nullptr);
 
    // Implements interface method
    void computeJacobian(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::Ref<Eigen::VectorXd>)> eval_fun,
                         Eigen::Ref<Eigen::MatrixXd> jacobian) override;
 
    // Implements interface method
    void computeJacobian2(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::VectorXd&)> eval_fun,
                          Eigen::Ref<Eigen::MatrixXd> jacobian) override;
 
    // Implements interface method
    void computeHessian(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::Ref<Eigen::VectorXd>)> eval_fun, int dim_f,
                        Eigen::Ref<Eigen::MatrixXd> hessian, const double* multipliers = nullptr) override;
 
    // Implements interface method
    void computeHessian2(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::VectorXd&)> eval_fun, int dim_f,
                         Eigen::Ref<Eigen::MatrixXd> hessian, const double* multipliers = nullptr) override;
 
    // Implements interface method
    void computeJacobianAndHessian(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::Ref<Eigen::VectorXd>)> eval_fun,
                                   Eigen::Ref<Eigen::MatrixXd> jacobian, Eigen::Ref<Eigen::MatrixXd> hessian,
                                   const double* multipliers = nullptr) override;
 
    // Implements interface method
    void computeJacobianAndHessian2(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::VectorXd&)> eval_fun,
                                    Eigen::Ref<Eigen::MatrixXd> jacobian, Eigen::Ref<Eigen::MatrixXd> hessian,
                                    const double* multipliers = nullptr) override;
};
FACTORY_REGISTER_FINITE_DIFFERENCES(ForwardDifferences)
 
 
class CentralDifferences : public FiniteDifferencesInterface
{
 public:
    // Implements interface method
    FiniteDifferencesInterface::Ptr getInstance() const override { return std::make_shared<CentralDifferences>(); }
 
    template <typename IncFun, typename EvalFun>
    static void jacobian(IncFun inc_fun, EvalFun eval_fun, Eigen::Ref<Eigen::MatrixXd> jacobian);
 
    template <typename IncFun, typename EvalFun>
    static void hessian(IncFun inc_fun, EvalFun eval_fun, int dim_f, Eigen::Ref<Eigen::MatrixXd> hessian, const double* multipliers = nullptr);
    // template <typename IncFun, typename EvalFun, typename WeightFun = double(int)>
    // static void hessian(IncFun inc_fun, EvalFun eval_fun, Eigen::Ref<Eigen::MatrixXd> hessian, int dim_f = 1, WeightFun weight_fun = 0);
 
    template <typename IncFun, typename EvalFun>
    void jacobianHessian(IncFun inc_fun, EvalFun eval_fun, Eigen::Ref<Eigen::MatrixXd> jacobian, Eigen::Ref<Eigen::MatrixXd> hessian,
                         const double* multipliers = nullptr);
 
    // Implements interface method
    void computeJacobian(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::Ref<Eigen::VectorXd>)> eval_fun,
                         Eigen::Ref<Eigen::MatrixXd> jacobian) override;
 
    // Implements interface method
    void computeJacobian2(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::VectorXd&)> eval_fun,
                          Eigen::Ref<Eigen::MatrixXd> jacobian) override;
 
    // Implements interface method
    void computeHessian(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::Ref<Eigen::VectorXd>)> eval_fun, int dim_f,
                        Eigen::Ref<Eigen::MatrixXd> hessian, const double* multipliers = nullptr) override;
 
    // Implements interface method
    void computeHessian2(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::VectorXd&)> eval_fun, int dim_f,
                         Eigen::Ref<Eigen::MatrixXd> hessian, const double* multipliers = nullptr) override;
 
    // Implements interface method
    void computeJacobianAndHessian(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::Ref<Eigen::VectorXd>)> eval_fun,
                                   Eigen::Ref<Eigen::MatrixXd> jacobian, Eigen::Ref<Eigen::MatrixXd> hessian,
                                   const double* multipliers = nullptr) override;
 
    // Implements interface method
    void computeJacobianAndHessian2(std::function<void(int, const double&)> inc_fun, std::function<void(Eigen::VectorXd&)> eval_fun,
                                    Eigen::Ref<Eigen::MatrixXd> jacobian, Eigen::Ref<Eigen::MatrixXd> hessian,
                                    const double* multipliers = nullptr) override;
};
FACTORY_REGISTER_FINITE_DIFFERENCES(CentralDifferences)
 
}  // namespace corbo
 
#include <corbo-numerics/finite_differences.hpp>  // NOLINT(build/include_order)
 
#endif  // SRC_NUMERICS_INCLUDE_CORBO_NUMERICS_FINITE_DIFFERENCES_H_