source: trunk/test_more/general/sparse_sub_hes.cpp @ 3941

Last change on this file since 3941 was 3941, checked in by bradbell, 2 years ago

merge to branch: trunk
from repository: https://github.com/coin-or/CppAD
start hash code: b7056a15a1028d7be587b70a3ecc44b1f42dc05e
end hash code: c8c4cc081accff3628e7e66370ec01e4c99afe8d

commit c8c4cc081accff3628e7e66370ec01e4c99afe8d
Author: Brad Bell <bradbell@…>
Date: Thu Jun 1 23:16:39 2017 -0600

Changes automatically generated by the autotools.

commit f4392bc3eee8f6d0ccd45a0bb3be51181e211680
Author: Brad Bell <bradbell@…>
Date: Thu Jun 1 23:11:56 2017 -0600

  1. Add colpack_jac.cpp example (rename colpack_jac.cpp->colpack_jacobian.cpp).
  2. Add colpack_hescpp example (rename colpack_hes.cpp->colpack_hessian.cpp).


test_one.sh.in: adapt to using test_boolofvoid for testing.
sparse_hes.hpp: fix bug in cppad.symmetric case.

commit 086b8a8709b0c9cb01ce2cf8bc7910e903105ff7
Author: Brad Bell <bradbell@…>
Date: Thu Jun 1 08:54:59 2017 -0600

  1. Fix bug in use of colpack (see kludge in comments).
  2. Fix colpack.symmetric (not general) and add colpack.general.
  3. Deprecate colpack.star.
  4. More autotools from install to deprecated.
  5. Advance to cppad-20170601.

commit 23f26c060648f5c6fc62a1598c659aeccc5ca46f
Author: Brad Bell <bradbell@…>
Date: Tue May 30 08:14:04 2017 -0700

Advance to cppad-20170530.

commit 97f8c08509865d1bfb7ec2e5cd557ddc979f8412
Author: Brad Bell <bradbell@…>
Date: Tue May 30 07:38:47 2017 -0700

debug_rel branch:
There is a problem with speed sparse_hessian debug that goes back to master.
Supresss debug in cppad speed tests until it is fixed.

commit 39ea0d7d9c041784ccd26ce80d19a7ab02752818
Author: Brad Bell <bradbell@…>
Date: Mon May 29 22:34:22 2017 -0700

debug_rel branch:
run_cmake.sh: fix debug_none case.
CMakeLists.txt: use cppad_debug_which to determine debug or release.
CMakeLists.txt: let set_compile_flags determkine build type.

commit 191553e54dca407207789cf0d7c6c27fe6188775
Author: Brad Bell <bradbell@…>
Date: Mon May 29 19:53:08 2017 -0700

debug_rel branch:
Use set_compile_flags in introduction.

commit fba276a84e58d9a0d0944168d5706b7446beb32c
Author: Brad Bell <bradbell@…>
Date: Mon May 29 19:46:30 2017 -0700

debug_rel branch:
Use set_compile_flags in eample/multi_thread subdirectories.

commit 66c8cdb266fa3af29b211b8c870a3aed7a13b021
Author: Brad Bell <bradbell@…>
Date: Mon May 29 18:56:48 2017 -0700

debug_rel branch:
Use set_compile_flags in speed directory.

commit c431b15ee7714d3106234bc527ba2f9a836750e1
Author: Brad Bell <bradbell@…>
Date: Mon May 29 18:36:51 2017 -0700

debug_rel branch:
Convert cppad_ipopt to use set_compile_flags and cppad_debug_which.


CMakeLists.txt: alwasy compile for release to reduce testing time.

commit 2c95b0019f1b665fb14b9f00b049e8b5fb11f89d
Author: Brad Bell <bradbell@…>
Date: Mon May 29 16:55:07 2017 -0700

debug_rel branch:
Add cppad_debug_which to the cmake command line.

commit fd8d1498cf6dc092deca41f764cbb2a001a4cc88
Author: Brad Bell <bradbell@…>
Date: Mon May 29 08:14:23 2017 -0700

debug_rel branch:
Change random_debug_release -> set_compile_flags.

commit 159f5a5aa09012213a52f4ed1c9f0607129a5fe7
Author: Brad Bell <bradbell@…>
Date: Mon May 29 06:50:43 2017 -0700

debug_rel branch:
Update the autotools automatically generated build files.


batch_edit.sh: Start comments about a plan for editing all the source files.
get_sacado.sh: advance to trilions-12.10.11.
makefile.am: advance to trilinos-12.10.1

commit 302153317cd296ec6f927c3202cf96bf38594bbb
Author: Brad Bell <bradbell@…>
Date: Mon May 29 05:20:00 2017 -0700

debug_rel branch:
Add error message if sacado configuration file does not exist.

commit 3f01a631ae808c3a1359e53e1cd55e9a0ea88711
Author: Brad Bell <bradbell@…>
Date: Mon May 29 04:24:00 2017 -0700

debug_rel branch:
CMakeLists.txt: automate naming of libraries Sacado needs.
checkpoint.cpp: fix warnings.

commit dd240928c0c8b6972a8197c985ccc01f08b8886b
Author: Brad Bell <bradbell@…>
Date: Sun May 28 08:25:20 2017 -0700

debug_rel branch:
sparse_sub_hes.cpp: add missing cases found by clang compiler.

commit 30a0c35f1ac50ec425be9a2b7b026284026eccd7
Author: Brad Bell <bradbell@…>
Date: Sun May 28 07:57:36 2017 -0700

debug_rel branch:
eigen_cholesky.hpp: fix compiler warning.
harmonic_time.cpp: remove include that is not used.
forward_active.cpp: fix compiler warning.

commit 4876d14e49dc235865b1574fb38a55cf5ea7a422
Author: Brad Bell <bradbell@…>
Date: Sun May 28 06:19:48 2017 -0700

debug_rel branch:
random_debug_release.cmake: fix comment, remove message replaced by random_choice_0123 in output.
multiple_solution.cpp: fix warnings with clang compiler.
eigen_cholesky.hpp: fix warnings with clang compiler.
compare_change.cpp: fix CPPAD_DEBUG_AND_RELEASE case.

commit 2c51a18f35188d04d2f94069382439580e23f4ac
Author: Brad Bell <bradbell@…>
Date: Sat May 27 21:04:37 2017 -0700

debug_rel branch:
Advance version to cppad-20170527.

commit 4500887b362537774b05e954ad2a95b65a7b8ba0
Author: Brad Bell <bradbell@…>
Date: Sat May 27 09:04:56 2017 -0700

debug_rel branch:
Ramdomly select debug or release flags in example directory.


CMakeLists.txt: always debug for multi_threed examples.

commit 140b5269a0b1a30643894e5a7a8c9a5eb1310301
Author: Brad Bell <bradbell@…>
Date: Sat May 27 08:10:51 2017 -0700

debug_rel branch:
Changing how we set all debug and release flags.

commit e6fb2639db1288fb75de4030b5906df1e41756f9
Author: Brad Bell <bradbell@…>
Date: Sat May 27 07:30:24 2017 -0700

debug_rel branch:
Replace use of cppad_extra_debug by CPPAD_DEBUG_AND_RELEASE.

commit fbbfd0f6e94862174a8a7a17308489ffddb28084
Author: Brad Bell <bradbell@…>
Date: Sat May 27 05:55:58 2017 -0700

debug_rel branch:
Improve random selection of which files are build for release or debug.


forward.cpp: use new -DCPPAD_DEBUG_AND_RELEASE flag.

commit 284be366fb5e2f685a0c71ea6a0e3f74584bf187
Author: Brad Bell <bradbell@…>
Date: Thu May 25 07:39:32 2017 -0700

debug_rel branch:
Add test that failed before change to player.


player.hpp: Fix so it has the same size in debug and release more.
checkpoint.cpp: fix warning when compiling for release.
run_cmake.sh: prepare to use random number to switch debug and release set.
CMakeLists.txt: switch to only test debug (for now).

commit f32375b77e3825628fee6cb160f691a32c48b796
Author: Brad Bell <bradbell@…>
Date: Wed May 24 12:04:27 2017 -0700

debug_rel branch:
forward.cpp: fix a warning during release build.

commit 5fcc7eb78ae8de9f1dbc6c4f0c76fe38e8aeba95
Author: Brad Bell <bradbell@…>
Date: Wed May 24 10:11:12 2017 -0700

debug_rel branch:
CMakeLists.txt: make easy to mix debug and release builds.
eigen_mat_inv.hpp: fix release version warning.

commit 696266f3d62079f5e3bfb1a0f60a7e4f8134e068
Author: Brad Bell <bradbell@…>
Date: Wed May 24 05:43:29 2017 -0700

push_git2svn.py: user ./build in place of ./build/work.
testvector.hpp: improve comments about replacing CPPAD_TESTVECTOR.

File size: 5.7 KB
Line 
1/* --------------------------------------------------------------------------
2CppAD: C++ Algorithmic Differentiation: Copyright (C) 2003-17 Bradley M. Bell
3
4CppAD is distributed under multiple licenses. This distribution is under
5the terms of the
6                    Eclipse Public License Version 1.0.
7
8A copy of this license is included in the COPYING file of this distribution.
9Please visit http://www.coin-or.org/CppAD/ for information on other licenses.
10-------------------------------------------------------------------------- */
11
12/*
13$begin sparse_sub_hes.cpp$$
14$spell
15$$
16
17$section Sparse Hessian on Subset of Variables: Example and Test$$
18
19$head Purpose$$
20This example uses a
21$cref/column subset/sparse_hessian/p/Column Subset/$$ of the sparsity pattern
22to compute the Hessian for a subset of the variables.
23The values in the rest of the sparsity pattern do not matter.
24
25$head See Also$$
26$cref sub_sparse_hes.cpp$$
27
28$code
29$comment%example/sparse/sparse_sub_hes.cpp%0%// BEGIN C++%// END C++%1%$$
30$$
31
32$end
33*/
34// BEGIN C++
35# include <cppad/cppad.hpp>
36namespace { // BEGIN_EMPTY_NAMESPACE
37
38// --------------------------------------------------------------------------
39CppAD::ADFun<double> record_function(size_t n)
40{       // must be greater than or equal 3; see n_sweep below
41        assert( n >= 3 );
42        //
43        using CppAD::AD;
44        typedef CppAD::vector< AD<double> >     a_vector;
45        //
46        // domain space vector
47        a_vector a_x(n);
48        for(size_t j = 0; j < n; j++)
49                a_x[j] = AD<double> (0);
50
51        // declare independent variables and starting recording
52        CppAD::Independent(a_x);
53
54        // range space vector
55        size_t m = 1;
56        a_vector a_y(m);
57        a_y[0] = 0.0;
58        for(size_t j = 1; j < n; j++)
59                a_y[0] += a_x[j-1] * a_x[j] * a_x[j];
60
61        // create f: x -> y and stop tape recording
62        // (without executing zero order forward calculation)
63        CppAD::ADFun<double> f;
64        f.Dependent(a_x, a_y);
65        //
66        return f;
67}
68// --------------------------------------------------------------------------
69bool test_set(const char* color_method)
70{       bool ok = true;
71        //
72        typedef CppAD::vector< double >                   d_vector;
73        typedef CppAD::vector<size_t>                     i_vector;
74        typedef CppAD::vector< std::set<size_t> >         s_vector;
75        //
76        size_t n = 12;
77        CppAD::ADFun<double> f = record_function(n);
78        //
79        // sparsity patteren for the sub-set of variables we are computing
80        // the hessian w.r.t.
81        size_t n_sub = 4;
82        s_vector r(n);
83        for(size_t j = 0; j < n_sub; j++)
84        {       assert(  r[j].empty() );
85                r[j].insert(j);
86        }
87
88        // store forward sparsity for J(x) = F^{(1)} (x) * R
89        f.ForSparseJac(n_sub, r);
90
91        // compute sparsity pattern for H(x) = (S * F)^{(2)} ( x ) * R
92        s_vector s(1);
93        assert(  s[0].empty() );
94        s[0].insert(0);
95        bool transpose = true;
96        s_vector h = f.RevSparseHes(n_sub, s, transpose);
97
98        // set the row and column indices that correspond to lower triangle
99        i_vector row, col;
100        for(size_t i = 0; i < n_sub; i++)
101        {       if( i > 0 )
102                {       // diagonal element
103                        row.push_back(i);
104                        col.push_back(i);
105                        // lower diagonal element
106                        row.push_back(i);
107                        col.push_back(i-1);
108                }
109        }
110
111        // weighting for the Hessian
112        d_vector w(1);
113        w[0] = 1.0;
114
115        // compute Hessian
116        CppAD::sparse_hessian_work work;
117        work.color_method = color_method;
118        d_vector x(n), hes( row.size() );
119        for(size_t j = 0; j < n; j++)
120                x[j] = double(j+1);
121        f.SparseHessian(x, w, h, row, col, hes, work);
122
123        // check the values in the sparse hessian
124        for(size_t ell = 0; ell < row.size(); ell++)
125        {       size_t i = row[ell];
126                size_t j = col[ell];
127                if( i == j )
128                        ok &= hes[ell] == 2.0 * x[i-1];
129                else
130                {       ok &= j+1 == i;
131                        ok &= hes[ell] == 2.0 * x[i];
132                }
133        }
134        return ok;
135}
136// --------------------------------------------------------------------------
137bool test_bool(const char* color_method)
138{       bool ok = true;
139        //
140        typedef CppAD::vector< double >    d_vector;
141        typedef CppAD::vector<size_t>      i_vector;
142        typedef CppAD::vector<bool>        s_vector;
143        //
144        size_t n = 12;
145        CppAD::ADFun<double> f = record_function(n);
146        //
147        // sparsity patteren for the sub-set of variables we are computing
148        // the hessian w.r.t.
149        size_t n_sub = 4;
150        s_vector r(n * n_sub);
151        for(size_t i = 0; i < n; i++)
152        {       for(size_t j = 0; j < n_sub; j++)
153                        r[ i * n_sub + j ] = (i == j);
154        }
155
156        // store forward sparsity for J(x) = F^{(1)} (x) * R
157        f.ForSparseJac(n_sub, r);
158
159        // compute sparsity pattern for H(x) = (S * F)^{(2)} ( x ) * R
160        s_vector s(1);
161        s[0] = true;
162        bool transpose = true;
163        s_vector h = f.RevSparseHes(n_sub, s, transpose);
164
165        // set the row and column indices that correspond to lower triangle
166        i_vector row, col;
167        for(size_t i = 0; i < n_sub; i++)
168        {       if( i > 0 )
169                {       // diagonal element
170                        row.push_back(i);
171                        col.push_back(i);
172                        // lower diagonal element
173                        row.push_back(i);
174                        col.push_back(i-1);
175                }
176        }
177
178        // weighting for the Hessian
179        d_vector w(1);
180        w[0] = 1.0;
181
182        // extend sparsity pattern (values in extended columns do not matter)
183        s_vector h_extended(n * n);
184        for(size_t i = 0; i < n; i++)
185        {       for(size_t j = 0; j < n_sub; j++)
186                        h_extended[ i * n + j ] = h[ i * n_sub + j ];
187                for(size_t j = n_sub; j < n; j++)
188                        h_extended[ i * n + j ] = false;
189        }
190        // compute Hessian
191        CppAD::sparse_hessian_work work;
192        work.color_method = color_method;
193        d_vector x(n), hes( row.size() );
194        for(size_t j = 0; j < n; j++)
195                x[j] = double(j+1);
196        f.SparseHessian(x, w, h_extended, row, col, hes, work);
197
198        // check the values in the sparse hessian
199        for(size_t ell = 0; ell < row.size(); ell++)
200        {       size_t i = row[ell];
201                size_t j = col[ell];
202                if( i == j )
203                        ok &= hes[ell] == 2.0 * x[i-1];
204                else
205                {       ok &= j+1 == i;
206                        ok &= hes[ell] == 2.0 * x[i];
207                }
208        }
209        return ok;
210}
211} // END_EMPTY_NAMESPACE
212
213bool sparse_sub_hes(void)
214{       bool ok = true;
215        ok &= test_set("cppad.symmetric");
216        ok &= test_set("cppad.general");
217        //
218        ok &= test_bool("cppad.symmetric");
219        ok &= test_bool("cppad.general");
220        return ok;
221}
222// END C++
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