Differentiator.h

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#ifndef SimTK_DIFFERENTIATOR_H_
#define SimTK_DIFFERENTIATOR_H_

/* -------------------------------------------------------------------------- *
 *                        Simbody(tm): SimTKmath                              *
 * -------------------------------------------------------------------------- *
 * This is part of the SimTK biosimulation toolkit originating from           *
 * Simbios, the NIH National Center for Physics-Based Simulation of           *
 * Biological Structures at Stanford, funded under the NIH Roadmap for        *
 * Medical Research, grant U54 GM072970. See https://simtk.org/home/simbody.  *
 *                                                                            *
 * Portions copyright (c) 2006-12 Stanford University and the Authors.        *
 * Authors: Michael Sherman                                                   *
 * Contributors:                                                              *
 *                                                                            *
 * Licensed under the Apache License, Version 2.0 (the "License"); you may    *
 * not use this file except in compliance with the License. You may obtain a  *
 * copy of the License at http://www.apache.org/licenses/LICENSE-2.0.         *
 *                                                                            *
 * Unless required by applicable law or agreed to in writing, software        *
 * distributed under the License is distributed on an "AS IS" BASIS,          *
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.   *
 * See the License for the specific language governing permissions and        *
 * limitations under the License.                                             *
 * -------------------------------------------------------------------------- */

#include "SimTKcommon.h"
#include "simmath/internal/common.h"

namespace SimTK {


class SimTK_SIMMATH_EXPORT Differentiator {
public:
    // This are local classes within Differentiator; defined below.
    class ScalarFunction;   // ordinary scalar function of a scalar
    class GradientFunction; // scalar function of vector
    class JacobianFunction; // vector function of vector
    class Function;         // abstraction of the above

    // These are the exceptions that can be thrown by this class.
    class OpNotAllowedForFunctionOfThisShape;
    class UserFunctionThrewAnException;
    class UserFunctionReturnedNonzeroStatus;
    class UnknownMethodSpecified;


    enum Method {
        UnspecifiedMethod=0,
        ForwardDifference=1,
        CentralDifference=2
    };
    static bool        isValidMethod(Method);
    static const char* getMethodName(Method);
    static int         getMethodOrder(Method);

    virtual ~Differentiator();
    explicit Differentiator(const Function& f, 
                            Method          defaultMethod=UnspecifiedMethod);

    // You can change the default method; normally it is ForwardDifference.
    // If you set it to 'UnspecifiedMethod' it goes back to the original default.
    Differentiator& setDefaultMethod(Method);
    Method          getDefaultMethod() const;

    // These are the real routines, which are efficient and flexible
    // but somewhat messy to use.
    void calcDerivative(Real y0, Real fy0, Real& dfdy, 
                        Method=UnspecifiedMethod) const;
    void calcGradient  (const Vector& y0, Real fy0, Vector& gf,
                        Method=UnspecifiedMethod) const;
    void calcJacobian  (const Vector& y0, const Vector& fy0, Matrix& dfdy,
                        Method=UnspecifiedMethod) const;

    // These provide a simpler though less efficient interface. They will
    // do some heap allocation, and will make an initial unperturbed call
    // to the user function.
    Real   calcDerivative(Real          y0, Method=UnspecifiedMethod) const;
    Vector calcGradient  (const Vector& y0, Method=UnspecifiedMethod) const;
    Matrix calcJacobian  (const Vector& y0, Method=UnspecifiedMethod) const;

    // Statistics (mutable)
    void resetAllStatistics();                 // reset all stats to zero
    int getNumDifferentiations() const;        // total # calls of calcWhatever
    int getNumDifferentiationFailures() const; // # of those that failed
    int getNumCallsToUserFunction() const;     // total # calls to user function

    // This is a local class.
    class DifferentiatorRep;
private:
    // opaque implementation for binary compatibility
    DifferentiatorRep* rep;
};

class SimTK_SIMMATH_EXPORT Differentiator::Function {
public:
    Function& setNumFunctions(int);
    Function& setNumParameters(int);
    Function& setEstimatedAccuracy(Real);

    // These values are fixed after construction.
    int  getNumFunctions()  const;
    int  getNumParameters() const;
    Real getEstimatedAccuracy() const; // approx. "roundoff" in f calculation

    // Statistics (mutable)
    void resetAllStatistics();
    int getNumCalls()    const; // # evaluations of this function since reset
    int getNumFailures() const; // # of calls which failed

    // This is the declaration of a local class name.
    class FunctionRep;
protected:
    Function();
    ~Function();

    // opaque implementation for binary compatibility
    FunctionRep* rep;

private:
    // suppress copy constructor and copy assignment
    Function(const Function&) = delete;
    Function& operator=(const Function&) = delete;

friend class Differentiator;
};

class SimTK_SIMMATH_EXPORT Differentiator::ScalarFunction : public Differentiator::Function {
public:
    virtual int f(Real x, Real& fx) const=0;

protected:
    explicit ScalarFunction(Real acc=-1);
    virtual ~ScalarFunction() { }

private:
    // suppress copy constructor and copy assignment
    ScalarFunction(const Function&);
    ScalarFunction& operator=(const Function&);
};

class SimTK_SIMMATH_EXPORT Differentiator::GradientFunction : public Differentiator::Function {
public:
    virtual int f(const Vector& y, Real& fy) const=0;

protected:
    explicit GradientFunction(int ny=-1, Real acc=-1);
    virtual ~GradientFunction() { }

private:
    // suppress copy constructor and copy assignment
    GradientFunction(const GradientFunction&);
    GradientFunction& operator=(const GradientFunction&);
};

class SimTK_SIMMATH_EXPORT Differentiator::JacobianFunction : public Differentiator::Function {
public:
    virtual int f(const Vector& y, Vector& fy) const=0;

protected:
    explicit JacobianFunction(int nf=-1, int ny=-1, Real acc=-1); 
    virtual ~JacobianFunction() { }

private:
    // suppress copy constructor and copy assignment
    JacobianFunction(const JacobianFunction&);
    JacobianFunction& operator=(const JacobianFunction&);
};

} // namespace SimTK

#endif // SimTK_DIFFERENTIATOR_H_