add Eigen as a dependency

external/include/eigen3/unsupported/Eigen/AdolcForward

@@ -0,0 +1,156 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2008-2009 Gael Guennebaud <g.gael@free.fr>
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_ADLOC_FORWARD
+#define EIGEN_ADLOC_FORWARD
+
+//--------------------------------------------------------------------------------
+//
+// This file provides support for adolc's adouble type in forward mode.
+// ADOL-C is a C++ automatic differentiation library,
+// see https://projects.coin-or.org/ADOL-C for more information.
+//
+// Note that the maximal number of directions is controlled by
+// the preprocessor token NUMBER_DIRECTIONS. The default is 2.
+//
+//--------------------------------------------------------------------------------
+
+#define ADOLC_TAPELESS
+#ifndef NUMBER_DIRECTIONS
+# define NUMBER_DIRECTIONS 2
+#endif
+#include <adolc/adtl.h>
+
+// adolc defines some very stupid macros:
+#if defined(malloc)
+# undef malloc
+#endif
+
+#if defined(calloc)
+# undef calloc
+#endif
+
+#if defined(realloc)
+# undef realloc
+#endif
+
+#include <Eigen/Core>
+
+namespace Eigen {
+
+/**
+  * \defgroup AdolcForward_Module Adolc forward module
+  * This module provides support for adolc's adouble type in forward mode.
+  * ADOL-C is a C++ automatic differentiation library,
+  * see https://projects.coin-or.org/ADOL-C for more information.
+  * It mainly consists in:
+  *  - a struct Eigen::NumTraits<adtl::adouble> specialization
+  *  - overloads of internal::* math function for adtl::adouble type.
+  *
+  * Note that the maximal number of directions is controlled by
+  * the preprocessor token NUMBER_DIRECTIONS. The default is 2.
+  *
+  * \code
+  * #include <unsupported/Eigen/AdolcSupport>
+  * \endcode
+  */
+  //@{
+
+} // namespace Eigen
+
+// Eigen's require a few additional functions which must be defined in the same namespace
+// than the custom scalar type own namespace
+namespace adtl {
+
+inline const adouble& conj(const adouble& x)  { return x; }
+inline const adouble& real(const adouble& x)  { return x; }
+inline adouble imag(const adouble&)    { return 0.; }
+inline adouble abs(const adouble&  x)  { return fabs(x); }
+inline adouble abs2(const adouble& x)  { return x*x; }
+
+}
+
+namespace Eigen {
+
+template<> struct NumTraits<adtl::adouble>
+    : NumTraits<double>
+{
+  typedef adtl::adouble Real;
+  typedef adtl::adouble NonInteger;
+  typedef adtl::adouble Nested;
+  enum {
+    IsComplex = 0,
+    IsInteger = 0,
+    IsSigned = 1,
+    RequireInitialization = 1,
+    ReadCost = 1,
+    AddCost = 1,
+    MulCost = 1
+  };
+};
+
+template<typename Functor> class AdolcForwardJacobian : public Functor
+{
+  typedef adtl::adouble ActiveScalar;
+public:
+
+  AdolcForwardJacobian() : Functor() {}
+  AdolcForwardJacobian(const Functor& f) : Functor(f) {}
+
+  // forward constructors
+  template<typename T0>
+  AdolcForwardJacobian(const T0& a0) : Functor(a0) {}
+  template<typename T0, typename T1>
+  AdolcForwardJacobian(const T0& a0, const T1& a1) : Functor(a0, a1) {}
+  template<typename T0, typename T1, typename T2>
+  AdolcForwardJacobian(const T0& a0, const T1& a1, const T1& a2) : Functor(a0, a1, a2) {}
+
+  typedef typename Functor::InputType InputType;
+  typedef typename Functor::ValueType ValueType;
+  typedef typename Functor::JacobianType JacobianType;
+
+  typedef Matrix<ActiveScalar, InputType::SizeAtCompileTime, 1> ActiveInput;
+  typedef Matrix<ActiveScalar, ValueType::SizeAtCompileTime, 1> ActiveValue;
+
+  void operator() (const InputType& x, ValueType* v, JacobianType* _jac) const
+  {
+    eigen_assert(v!=0);
+    if (!_jac)
+    {
+      Functor::operator()(x, v);
+      return;
+    }
+
+    JacobianType& jac = *_jac;
+
+    ActiveInput ax = x.template cast<ActiveScalar>();
+    ActiveValue av(jac.rows());
+
+    for (int j=0; j<jac.cols(); j++)
+      for (int i=0; i<jac.cols(); i++)
+        ax[i].setADValue(j, i==j ? 1 : 0);
+
+    Functor::operator()(ax, &av);
+
+    for (int i=0; i<jac.rows(); i++)
+    {
+      (*v)[i] = av[i].getValue();
+      for (int j=0; j<jac.cols(); j++)
+        jac.coeffRef(i,j) = av[i].getADValue(j);
+    }
+  }
+protected:
+
+};
+
+//@}
+
+}
+
+#endif // EIGEN_ADLOC_FORWARD