colpack_jacobian.cpp

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ColPack: Sparse Jacobian Example and Test

# include <cppad/cppad.hpp>
bool colpack_jacobian(void)
{  bool ok = true;
   using CppAD::AD;
   using CppAD::NearEqual;
   typedef CPPAD_TESTVECTOR(AD<double>) a_vector;
   typedef CPPAD_TESTVECTOR(double)     d_vector;
   typedef CppAD::vector<size_t>        i_vector;
   size_t i, j, k, ell;
   double eps = 10. * CppAD::numeric_limits<double>::epsilon();

   // domain space vector
   size_t n = 4;
   a_vector  a_x(n);
   for(j = 0; j < n; j++)
      a_x[j] = AD<double> (0);

   // declare independent variables and starting recording
   CppAD::Independent(a_x);

   size_t m = 3;
   a_vector  a_y(m);
   a_y[0] = a_x[0] + a_x[1];
   a_y[1] = a_x[2] + a_x[3];
   a_y[2] = a_x[0] + a_x[1] + a_x[2] + a_x[3] * a_x[3] / 2.;

   // create f: x -> y and stop tape recording
   CppAD::ADFun<double> f(a_x, a_y);

   // new value for the independent variable vector
   d_vector x(n);
   for(j = 0; j < n; j++)
      x[j] = double(j);

   /*
          [ 1 1 0 0  ]
   jac = [ 0 0 1 1  ]
          [ 1 1 1 x_3]
   */
   d_vector check(m * n);
   check[0] = 1.; check[1] = 1.; check[2]  = 0.; check[3]  = 0.;
   check[4] = 0.; check[5] = 0.; check[6]  = 1.; check[7]  = 1.;
   check[8] = 1.; check[9] = 1.; check[10] = 1.; check[11] = x[3];

   // Normally one would use f.ForSparseJac or f.RevSparseJac to compute
   // sparsity pattern, but for this example we extract it from check.
   std::vector< std::set<size_t> >  p(m);

   // using row and column indices to compute non-zero in rows 1 and 2
   i_vector row, col;
   for(i = 0; i < m; i++)
   {  for(j = 0; j < n; j++)
      {  ell = i * n + j;
         if( check[ell] != 0. )
         {  row.push_back(i);
            col.push_back(j);
            p[i].insert(j);
         }
      }
   }
   size_t K = row.size();
   d_vector jac(K);

   // empty work structure
   CppAD::sparse_jacobian_work work;
   ok &= work.color_method == "cppad";

   // choose to use ColPack
   work.color_method = "colpack";

   // forward mode
   size_t n_sweep = f.SparseJacobianForward(x, p, row, col, jac, work);
   for(k = 0; k < K; k++)
   {  ell = row[k] * n + col[k];
      ok &= NearEqual(check[ell], jac[k], eps, eps);
   }
   ok &= n_sweep == 4;

   // reverse mode
   work.clear();
   work.color_method = "colpack";
   n_sweep = f.SparseJacobianReverse(x, p, row, col, jac, work);
   for(k = 0; k < K; k++)
   {  ell = row[k] * n + col[k];
      ok &= NearEqual(check[ell], jac[k], eps, eps);
   }
   ok &= n_sweep == 2;

   return ok;
}