git-svn-id: file:///home/svn/opt_utilities@117 ed2142bd-67ad-457f-ba7c-d818d4011675

2 files changed, 133 insertions, 0 deletions

diff --git a/math/num_diff.hpp b/math/num_diff.hpp
new file mode 100644
index 0000000..27a1674
--- /dev/null
+++ b/math/num_diff.hpp
@@ -0,0 +1,115 @@
+/**
+   \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/math/vector_operation.hpp b/math/vector_operation.hpp
new file mode 100644
index 0000000..481fdef
--- /dev/null
+++ b/math/vector_operation.hpp
@@ -0,0 +1,18 @@
+#ifndef VECTOR_OPERATION_HPP
+#define VECTOR_OPERATION_HPP
+#include <core/opt_traits.hpp>
+
+template <typename pT>
+typename element_type_trait<pT>::element_type
+inner_product(const pT& v1,const pT& v2)
+{
+  typename element_type_trait<pT>::element_type result;
+  for(int i=0;i<get_size(v1);++i)
+    {
+      result+=get_element(v1,i)*get_element(v2,i);
+    }
+  return result;
+}
+
+
+#endif