add Eigen as a dependency

external/include/eigen3/unsupported/Eigen/src/AutoDiff/AutoDiffJacobian.h

@@ -0,0 +1,108 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2009 Gael Guennebaud <gael.guennebaud@inria.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_AUTODIFF_JACOBIAN_H
+#define EIGEN_AUTODIFF_JACOBIAN_H
+
+namespace Eigen
+{
+
+template<typename Functor> class AutoDiffJacobian : public Functor
+{
+public:
+  AutoDiffJacobian() : Functor() {}
+  AutoDiffJacobian(const Functor& f) : Functor(f) {}
+
+  // forward constructors
+#if EIGEN_HAS_VARIADIC_TEMPLATES
+  template<typename... T>
+  AutoDiffJacobian(const T& ...Values) : Functor(Values...) {}
+#else
+  template<typename T0>
+  AutoDiffJacobian(const T0& a0) : Functor(a0) {}
+  template<typename T0, typename T1>
+  AutoDiffJacobian(const T0& a0, const T1& a1) : Functor(a0, a1) {}
+  template<typename T0, typename T1, typename T2>
+  AutoDiffJacobian(const T0& a0, const T1& a1, const T2& a2) : Functor(a0, a1, a2) {}
+#endif
+
+  typedef typename Functor::InputType InputType;
+  typedef typename Functor::ValueType ValueType;
+  typedef typename ValueType::Scalar Scalar;
+
+  enum {
+    InputsAtCompileTime = InputType::RowsAtCompileTime,
+    ValuesAtCompileTime = ValueType::RowsAtCompileTime
+  };
+
+  typedef Matrix<Scalar, ValuesAtCompileTime, InputsAtCompileTime> JacobianType;
+  typedef typename JacobianType::Index Index;
+
+  typedef Matrix<Scalar, InputsAtCompileTime, 1> DerivativeType;
+  typedef AutoDiffScalar<DerivativeType> ActiveScalar;
+
+  typedef Matrix<ActiveScalar, InputsAtCompileTime, 1> ActiveInput;
+  typedef Matrix<ActiveScalar, ValuesAtCompileTime, 1> ActiveValue;
+
+#if EIGEN_HAS_VARIADIC_TEMPLATES
+  // Some compilers don't accept variadic parameters after a default parameter,
+  // i.e., we can't just write _jac=0 but we need to overload operator():
+  EIGEN_STRONG_INLINE
+  void operator() (const InputType& x, ValueType* v) const
+  {
+      this->operator()(x, v, 0);
+  }
+  template<typename... ParamsType>
+  void operator() (const InputType& x, ValueType* v, JacobianType* _jac,
+                   const ParamsType&... Params) const
+#else
+  void operator() (const InputType& x, ValueType* v, JacobianType* _jac=0) const
+#endif
+  {
+    eigen_assert(v!=0);
+
+    if (!_jac)
+    {
+#if EIGEN_HAS_VARIADIC_TEMPLATES
+      Functor::operator()(x, v, Params...);
+#else
+      Functor::operator()(x, v);
+#endif
+      return;
+    }
+
+    JacobianType& jac = *_jac;
+
+    ActiveInput ax = x.template cast<ActiveScalar>();
+    ActiveValue av(jac.rows());
+
+    if(InputsAtCompileTime==Dynamic)
+      for (Index j=0; j<jac.rows(); j++)
+        av[j].derivatives().resize(x.rows());
+
+    for (Index i=0; i<jac.cols(); i++)
+      ax[i].derivatives() = DerivativeType::Unit(x.rows(),i);
+
+#if EIGEN_HAS_VARIADIC_TEMPLATES
+    Functor::operator()(ax, &av, Params...);
+#else
+    Functor::operator()(ax, &av);
+#endif
+
+    for (Index i=0; i<jac.rows(); i++)
+    {
+      (*v)[i] = av[i].value();
+      jac.row(i) = av[i].derivatives();
+    }
+  }
+};
+
+}
+
+#endif // EIGEN_AUTODIFF_JACOBIAN_H