reverse_three.cpp

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Third Order Reverse Mode: Example and Test

Taylor Coefficients

\begin{eqnarray} X(t) & = & x^{(0)} + x^{(1)} t + x^{(2)} t^2 \\ X^{(1)} (t) & = & x^{(1)} + 2 x^{(2)} t \\ X^{(2)} (t) & = & 2 x^{(2)} \end{eqnarray}

Thus, we need to be careful to properly account for the fact that \(X^{(2)} (0) = 2 x^{(2)}\) (and similarly \(Y^{(2)} (0) = 2 y^{(2)}\)).

# include <cppad/cppad.hpp>
namespace { // ----------------------------------------------------------
// define the template function cases<Vector> in empty namespace
template <class Vector>
bool cases(void)
{  bool ok    = true;
   double eps = 10. * CppAD::numeric_limits<double>::epsilon();
   using CppAD::AD;
   using CppAD::NearEqual;

   // domain space vector
   size_t n = 2;
   CPPAD_TESTVECTOR(AD<double>) X(n);
   X[0] = 0.;
   X[1] = 1.;

   // declare independent variables and start recording
   CppAD::Independent(X);

   // range space vector
   size_t m = 1;
   CPPAD_TESTVECTOR(AD<double>) Y(m);
   Y[0] = X[0] * X[1];

   // create f : X -> Y and stop recording
   CppAD::ADFun<double> f(X, Y);

   // define x^0 and compute y^0 using user zero order forward
   Vector x0(n), y0(m);
   x0[0]    = 2.;
   x0[1]    = 3.;
   y0       = f.Forward(0, x0);

   // y^0 = F(x^0)
   double check;
   check    =  x0[0] * x0[1];
   ok      &= NearEqual(y0[0] , check, eps, eps);

   // define x^1 and compute y^1 using first order forward mode
   Vector x1(n), y1(m);
   x1[0] = 4.;
   x1[1] = 5.;
   y1    = f.Forward(1, x1);

   // Y^1 (x) = partial_t F( x^0 + x^1 * t )
   // y^1     = Y^1 (0)
   check = x1[0] * x0[1] + x0[0] * x1[1];
   ok   &= NearEqual(y1[0], check, eps, eps);

   // define x^2 and compute y^2 using second order forward mode
   Vector x2(n), y2(m);
   x2[0] = 6.;
   x2[1] = 7.;
   y2    = f.Forward(2, x2);

   // Y^2 (x) = partial_tt F( x^0 + x^1 * t + x^2 * t^2 )
   // y^2     = (1/2) *  Y^2 (0)
   check  = x2[0] * x0[1] + x1[0] * x1[1] + x0[0] * x2[1];
   ok    &= NearEqual(y2[0], check, eps, eps);

   // W(x)  = Y^0 (x) + 2 * Y^1 (x) + 3 * (1/2) * Y^2 (x)
   size_t p = 3;
   Vector dw(n*p), w(m*p);
   w[0] = 1.;
   w[1] = 2.;
   w[2] = 3.;
   dw   = f.Reverse(p, w);

   // check partial w.r.t x^0_0 of W(x)
   check = x0[1] + 2. * x1[1] + 3. * x2[1];
   ok   &= NearEqual(dw[0*p+0], check, eps, eps);

   // check partial w.r.t x^0_1 of W(x)
   check = x0[0] + 2. * x1[0] + 3. * x2[0];
   ok   &= NearEqual(dw[1*p+0], check, eps, eps);

   // check partial w.r.t x^1_0 of W(x)
   check = 2. * x0[1] + 3. * x1[1];
   ok   &= NearEqual(dw[0*p+1], check, eps, eps);

   // check partial w.r.t x^1_1 of W(x)
   check = 2. * x0[0] + 3. * x1[0];
   ok   &= NearEqual(dw[1*p+1], check, eps, eps);

   // check partial w.r.t x^2_0 of W(x)
   check = 3. * x0[1];
   ok   &= NearEqual(dw[0*p+2], check, eps, eps);

   // check partial w.r.t x^2_1 of W(x)
   check = 3. * x0[0];
   ok   &= NearEqual(dw[1*p+2], check, eps, eps);

   return ok;
}
} // End empty namespace
# include <vector>
# include <valarray>
bool reverse_three(void)
{  bool ok = true;
   ok &= cases< CppAD::vector  <double> >();
   ok &= cases< std::vector    <double> >();
   ok &= cases< std::valarray  <double> >();
   return ok;
}