autodiff Namespace Reference

Automatic differentiation (gradient, hessian, jacobian) More...

Functions
template<class Functor , class Type >
vector< Type >	gradient (Functor F, vector< Type > x)
	Calculate gradient of vector function with scalar values. More...
template<class Functor , class Type >
matrix< Type >	hessian (Functor f, vector< Type > x)
	Calculate hessian of vector function with scalar values. More...
template<class Functor , class Type >
matrix< Type >	jacobian (Functor f, vector< Type > x)
	Calculate jacobian of vector function with vector values. More...

Detailed Description

Automatic differentiation (gradient, hessian, jacobian)

• Gives the TMB user easy access to the CppAD library

Function Documentation

gradient()

template<class Functor , class Type >

vector<Type> autodiff::gradient	(	Functor	F,
		vector< Type >	x
	)

Calculate gradient of vector function with scalar values.

Parameters

F	Functor with scalar values
x	Vector evaluation point

Returns

Gradient vector

Note

The evaluation method of the functor must be templated

Example:

#include <TMB.hpp>

struct func {
  template <class T>
  T operator()(vector<T> x){  // Evaluate function
    return exp( -x.sum() );
  }
};

template<class Type>
Type objective_function<Type>::operator() () {
  PARAMETER_VECTOR(theta);
  func f;
  // Calculate gradient
  vector<Type> g = autodiff::gradient(f, theta);
  REPORT(g);
  // Exit
  return 0;
}

Examples:

laplace.cpp.

Definition at line 67 of file autodiff.hpp.

hessian()

template<class Functor , class Type >

matrix<Type> autodiff::hessian	(	Functor	f,
		vector< Type >	x
	)

Calculate hessian of vector function with scalar values.

Parameters

f	Functor with scalar values
x	Vector evaluation point

Returns

Hessian matrix

Note

The evaluation method of the functor must be templated

Example:

#include <TMB.hpp>

struct func {
  template <class T>
  T operator()(vector<T> x){  // Evaluate function
    return exp( -x.sum() );
  }
};

template<class Type>
Type objective_function<Type>::operator() () {
  PARAMETER_VECTOR(theta);
  func f;
  // Calculate hessian
  matrix<Type> h = autodiff::hessian(f, theta);
  REPORT(h);
  // Exit
  return 0;
}

Examples:

laplace.cpp.

Definition at line 134 of file autodiff.hpp.

jacobian()

template<class Functor , class Type >

matrix<Type> autodiff::jacobian	(	Functor	f,
		vector< Type >	x
	)

Calculate jacobian of vector function with vector values.

Parameters

f	Functor with vector values
x	Vector evaluation point

Returns

Jacobian matrix

Note

The evaluation method of the functor must be templated

Example:

#include <TMB.hpp>

struct func {
  template <class T>
  vector<T> operator()(vector<T> x){  // Evaluate function
    vector<T> y(2);
    y(0) = x.sum();
    y(1) = x.prod();
    return y;
  }
};

template<class Type>
Type objective_function<Type>::operator() () {
  PARAMETER_VECTOR(theta);
  func f;
  // Calculate jacobian
  matrix<Type> j = autodiff::jacobian(f, theta);
  REPORT(j);
  // Exit
  return 0;
}

Definition at line 203 of file autodiff.hpp.

Referenced by density::MVNORM_t< scalartype >::operator()(), density::N01< scalartype_ >::operator()(), density::AR1_t< distribution >::operator()(), density::ARk_t< scalartype_ >::operator()(), density::contAR2_t< scalartype_ >::operator()(), density::SCALE_t< distribution >::operator()(), and density::VECSCALE_t< distribution >::operator()().