git-svn-id: file:///home/svn/opt_utilities@25 ed2142bd-67ad-457f-ba7c-d818d4011675

1 files changed, 84 insertions, 0 deletions

diff --git a/core/numdiff.hpp b/core/numdiff.hpp
new file mode 100644
index 0000000..f9cf520
--- /dev/null
+++ b/core/numdiff.hpp
@@ -0,0 +1,84 @@
+#ifndef NUMDIFF_HPP
+#define NUMDIFF_HPP
+
+#include <core/optimizer.hpp>
+#include <core/opt_traits.hpp>
+#include <algorithm>
+#include <limits>
+#include <cmath>
+
+namespace opt_utilities
+{
+  template <typename rT,typename pT>
+  class dfunc_obj
+    :public func_obj<rT,pT>
+  {
+  private:
+    virtual pT do_diff(const pT& p)=0;
+    
+  public:
+    pT diff(const pT& p)
+    {
+      return do_diff(p);
+    }
+  };
+  
+  class underivable
+    :public opt_exception
+  {
+  public:
+    underivable()
+      :opt_exception("underivable")
+    {}
+  };
+
+  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;
+  }
+
+  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