c

git-svn-id: file:///home/svn/opt_utilities@119 ed2142bd-67ad-457f-ba7c-d818d4011675

3 files changed, 44 insertions, 186 deletions

diff --git a/core/num_diff.hpp b/core/num_diff.hpp
deleted file mode 100644
index 27a1674..0000000
--- a/core/num_diff.hpp
+++ /dev/null
@@ -1,115 +0,0 @@
-/**
-   \file num_diff.hpp
- */
-
-
-#ifndef NUMDIFF_HPP
-#define NUMDIFF_HPP
-#define OPT_HEADER
-#include <core/optimizer.hpp>
-#include <core/opt_traits.hpp>
-#include <algorithm>
-#include <limits>
-#include <cmath>
-
-namespace opt_utilities
-{
-
-  /**
-     \brief differentiable function
-     \tparam rT the return type
-     \tparam the parameter type
-   */
-  template <typename rT,typename pT>
-  class dfunc_obj
-    :public func_obj<rT,pT>
-  {
-  private:
-    virtual pT do_diff(const pT& p)=0;
-    
-  public:
-    /**
-       calculate the differentiation
-       \param p the self-var
-       \return the gradient at p
-     */
-    pT diff(const pT& p)
-    {
-      return do_diff(p);
-    }
-  };
-  
-
-  /**
-     When trying to diff an object function, when it is not differentiable,
-     this exception will be thrown.
-   */
-  class underivable
-    :public opt_exception
-  {
-  public:
-    underivable()
-      :opt_exception("underivable")
-    {}
-  };
-
-  /**
-     calculate the numerical differential of a func_obj
-   */
-  template <typename rT,typename pT>
-    pT numdiff(func_obj<rT,pT>& f,const pT& p)
-  {
-    rT ep=std::sqrt(std::numeric_limits<rT>::epsilon());
-    
-    pT result;
-    resize(result,get_size(p));
-    pT p2;
-    resize(p2,get_size(p));
-    pT p1;
-    resize(p1,get_size(p));
-    
-    for(size_t i=0;i<get_size(p);++i)
-      {
-	set_element(p2,i,get_element(p,i));
-	set_element(p1,i,get_element(p,i));
-      }
-    for(size_t i=0;i<get_size(p);++i)
-      {
-	typename element_type_trait<pT>::element_type h=
-	  std::max(get_element(p,i),rT(1))*ep;
-	  
-	set_element(p2,i,get_element(p,i)+h);
-	set_element(p1,i,get_element(p,i)-h);
-	
-	rT v2=f(p2);
-	rT v1=f(p1);
-	set_element(result,i,
-		    (v2-v1)/h/2
-		    );
-	set_element(p2,i,get_element(p,i));
-	set_element(p1,i,get_element(p,i));
-      }
-    return result;
-  }
-
-
-  /**
-     Help function to calculate the gradient of an objection function 
-     func_obj, whether it is differentiable or not. If it is differentiable, 
-     the gradient will be calculated by calling the diff member in the func_obj,
-     or a numerical calculation will be performed.
-   */
-  template <typename rT,typename pT>
-    pT diff(func_obj<rT,pT>& f,const pT& p)
-  {
-    dfunc_obj<rT,pT>* pdf=dynamic_cast<dfunc_obj<rT,pT>*>(&f);
-    if(pdf)
-      {
-	return pdf->diff(p);
-      }
-    return numdiff(f,p);
-    
-  }
-}
-
-#endif
diff --git a/interface/opt.cc b/interface/opt.cc
index 1025d60..3930568 100644
--- a/interface/opt.cc
+++ b/interface/opt.cc
@@ -1,6 +1,6 @@
 #include "opt.h"
 #include <utilities/opt_types.hpp>
-#include <core/num_diff.hpp>
+#include <math/num_diff.hpp>
 #include <models/models.hpp>
 #include <map>
 #include <core/freeze_param.hpp>
diff --git a/math/num_diff.hpp b/math/num_diff.hpp
index 27a1674..0bd2937 100644
--- a/math/num_diff.hpp
+++ b/math/num_diff.hpp
@@ -14,55 +14,15 @@
 
 namespace opt_utilities
 {
-
-  /**
-     \brief differentiable function
-     \tparam rT the return type
-     \tparam the parameter type
-   */
-  template <typename rT,typename pT>
-  class dfunc_obj
-    :public func_obj<rT,pT>
-  {
-  private:
-    virtual pT do_diff(const pT& p)=0;
-    
-  public:
-    /**
-       calculate the differentiation
-       \param p the self-var
-       \return the gradient at p
-     */
-    pT diff(const pT& p)
-    {
-      return do_diff(p);
-    }
-  };
-  
-
-  /**
-     When trying to diff an object function, when it is not differentiable,
-     this exception will be thrown.
-   */
-  class underivable
-    :public opt_exception
-  {
-  public:
-    underivable()
-      :opt_exception("underivable")
-    {}
-  };
-
   /**
      calculate the numerical differential of a func_obj
-   */
+  */
   template <typename rT,typename pT>
-    pT numdiff(func_obj<rT,pT>& f,const pT& p)
+  rT gradient(func_obj<rT,pT>& f,const pT& p,size_t n)
   {
     rT ep=std::sqrt(std::numeric_limits<rT>::epsilon());
     
-    pT result;
-    resize(result,get_size(p));
+    rT result;
     pT p2;
     resize(p2,get_size(p));
     pT p1;
@@ -73,42 +33,55 @@ namespace opt_utilities
 	set_element(p2,i,get_element(p,i));
 	set_element(p1,i,get_element(p,i));
       }
-    for(size_t i=0;i<get_size(p);++i)
-      {
-	typename element_type_trait<pT>::element_type h=
-	  std::max(get_element(p,i),rT(1))*ep;
-	  
-	set_element(p2,i,get_element(p,i)+h);
-	set_element(p1,i,get_element(p,i)-h);
-	
-	rT v2=f(p2);
-	rT v1=f(p1);
-	set_element(result,i,
-		    (v2-v1)/h/2
-		    );
-	set_element(p2,i,get_element(p,i));
-	set_element(p1,i,get_element(p,i));
-      }
+    typename element_type_trait<pT>::element_type h=
+      std::max(get_element(p,n),rT(1))*ep;
+    set_element(p2,n,get_element(p,n)+h);
+    set_element(p1,n,get_element(p,n)-h);
+    
+    rT v2=f(p2);
+    rT v1=f(p1);
+    
+    result=(v2-v1)/h/2;
     return result;
   }
 
 
-  /**
-     Help function to calculate the gradient of an objection function 
-     func_obj, whether it is differentiable or not. If it is differentiable, 
-     the gradient will be calculated by calling the diff member in the func_obj,
-     or a numerical calculation will be performed.
-   */
   template <typename rT,typename pT>
-    pT diff(func_obj<rT,pT>& f,const pT& p)
+  rT hessian(func_obj<rT,pT>& f,const pT& p,size_t m,size_t n)
   {
-    dfunc_obj<rT,pT>* pdf=dynamic_cast<dfunc_obj<rT,pT>*>(&f);
-    if(pdf)
+    rT ep=std::sqrt(std::numeric_limits<rT>::epsilon());
+    typename element_type_trait<pT>::element_type hn=
+      std::max(get_element(p,n),rT(1))*ep;
+    typename element_type_trait<pT>::element_type hm=
+      std::max(get_element(p,m),rT(1))*ep;
+    pT p11;
+    resize(p11,get_size(p));
+    pT p00;
+    resize(p00,get_size(p));
+    pT p10;
+    resize(p10,get_size(p));
+    pT p01;
+    resize(p01,get_size(p));
+    
+    for(size_t i=0;i<get_size(p);++i)
       {
-	return pdf->diff(p);
+	set_element(p11,i,get_element(p,i));
+	set_element(p00,i,get_element(p,i));
+	set_element(p01,i,get_element(p,i));
+	set_element(p10,i,get_element(p,i));
       }
-    return numdiff(f,p);
     
+    set_element(p11,m,get_element(p11,m)+hm);
+    set_element(p11,n,get_element(p11,n)+hn);
+    set_element(p00,m,get_element(p00,m)-hm);
+    set_element(p00,n,get_element(p00,n)-hn);
+    set_element(p10,m,get_element(p10,m)+hm);
+    set_element(p10,n,get_element(p10,n)-hn);
+    set_element(p01,m,get_element(p01,m)-hm);
+    set_element(p01,n,get_element(p01,n)+hn);
+
+    rT result=(f(p11)+f(p00)-f(p01)-f(p10))/(4*hm*hn);
+    return result;
   }
 }