Sacado_radops.cpp

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// @HEADER
// ***********************************************************************
//
//                           Sacado Package
//                 Copyright (2006) Sandia Corporation
//
// Under the terms of Contract DE-AC04-94AL85000 with Sandia Corporation,
// the U.S. Government retains certain rights in this software.
//
// This library is free software; you can redistribute it and/or modify
// it under the terms of the GNU Lesser General Public License as
// published by the Free Software Foundation; either version 2.1 of the
// License, or (at your option) any later version.
//
// This library is distributed in the hope that it will be useful, but
// WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
// Lesser General Public License for more details.
//
// You should have received a copy of the GNU Lesser General Public
// License along with this library; if not, write to the Free Software
// Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307
// USA
// Questions? Contact David M. Gay (dmgay@sandia.gov) or Eric T. Phipps
// (etphipp@sandia.gov).
//
// ***********************************************************************
// @HEADER

// Support routines for the RAD package (Reverse Automatic Differentiation) --
// a package specialized for function and gradient evaluations.
// Written in 2004 by David M. Gay at Sandia National Labs, Albuquerque, NM.

#include "Sacado_rad.hpp"

namespace Sacado {
namespace Radnt {

#ifdef RAD_AUTO_AD_Const
ADvari *ADvari::First_ADvari, **ADvari::Last_ADvari = &ADvari::First_ADvari;
#undef RAD_DEBUG_BLOCKKEEP
#else
#ifdef RAD_DEBUG_BLOCKKEEP
#if !(RAD_DEBUG_BLOCKKEEP > 0)
#undef RAD_DEBUG_BLOCKKEEP
#else
extern "C" void _uninit_f2c(void *x, int type, long len);
#define TYDREAL 5
static ADmemblock *rad_Oldcurmb;
static int rad_busy_blocks;
#endif /*RAD_DEBUG_BLOCKKEEP > 0*/
#endif /*RAD_DEBUG_BLOCKKEEP*/
#endif /*RAD_AUTO_AD_Const*/

Derp *Derp::LastDerp = 0;
ADcontext ADvari::adc;
CADcontext ConstADvari::cadc;
ConstADvari *ConstADvari::lastcad;
static int rad_need_reinit;
#ifdef RAD_DEBUG_BLOCKKEEP
static size_t rad_mleft_save;
#endif

const double CADcontext::One = 1., CADcontext::negOne = -1.;

ADcontext::ADcontext()
{
  First.next = 0;
  Busy = &First;
  Free = 0;
  Mbase = (char*)First.memblk;
  Mleft = sizeof(First.memblk);
  }

 void*
ADcontext::new_ADmemblock(size_t len)
{
  ADmemblock *mb, *mb0, *mb1, *mbf, *x;
#ifdef RAD_AUTO_AD_Const
  ADvari *a, *anext;
  IndepADvar *v;
#endif /* RAD_AUTO_AD_Const */

  if (rad_need_reinit && this == &ADvari::adc) {
    rad_need_reinit = 0;
    Derp::LastDerp = 0;
#ifdef RAD_DEBUG_BLOCKKEEP
    Mleft = rad_mleft_save;
    if (Mleft < sizeof(First.memblk))
      _uninit_f2c(Mbase + Mleft, TYDREAL,
       (sizeof(First.memblk) - Mleft)/sizeof(double));
    if (mb = Busy->next) {
      if (!(mb0 = rad_Oldcurmb))
        mb0 = &First;
      for(;; mb = mb->next) {
        _uninit_f2c(mb->memblk, TYDREAL,
          sizeof(First.memblk)/sizeof(double));
        if (mb == mb0)
          break;
        }
      }
    rad_Oldcurmb = Busy;
    if (rad_busy_blocks >= RAD_DEBUG_BLOCKKEEP) {
      rad_busy_blocks = 0;
      rad_Oldcurmb = 0;
      mb0 = &First;
      mbf =  Free;
      for(mb = Busy; mb != mb0; mb = mb1) {
        mb1 = mb->next;
        mb->next = mbf;
        mbf = mb;
        }
      Free = mbf;
      Busy = mb;
      Mbase = (char*)First.memblk;
      Mleft = sizeof(First.memblk);
      }

#else /* !RAD_DEBUG_BLOCKKEEP */

    mb0 = &ADvari::adc.First;
    mbf =  ADvari::adc.Free;
    for(mb = ADvari::adc.Busy; mb != mb0; mb = mb1) {
      mb1 = mb->next;
      mb->next = mbf;
      mbf = mb;
      }
    ADvari::adc.Free = mbf;
    ADvari::adc.Busy = mb;
    ADvari::adc.Mbase = (char*)ADvari::adc.First.memblk;
    ADvari::adc.Mleft = sizeof(ADvari::adc.First.memblk);
#ifdef RAD_AUTO_AD_Const
    *ADvari::Last_ADvari = 0;
    ADvari::Last_ADvari = &ADvari::First_ADvari;
    if (anext = ADvari::First_ADvari) {
      while(a = anext) {
        anext = a->Next;
        if (v = a->padv)
          v->cv = new ADvari(v, a->Val);
        }
      }
#endif /*RAD_AUTO_AD_Const*/
#endif /* RAD_DEBUG_BLOCKKEEP */
    if (Mleft >= len)
      return Mbase + (Mleft -= len);
    }

  if ((x = Free))
    Free = x->next;
  else
    x = new ADmemblock;
#ifdef RAD_DEBUG_BLOCKKEEP
  rad_busy_blocks++;
#endif
  x->next = Busy;
  Busy = x;
  return (Mbase = (char*)x->memblk) +
    (Mleft = sizeof(First.memblk) - len);
  }

 void
ADcontext::Gradcomp()
{
  Derp *d;

  if (rad_need_reinit) {
    for(d = Derp::LastDerp; d; d = d->next)
      d->c->aval = 0;
    }
  else {
    rad_need_reinit = 1;
#ifdef RAD_DEBUG_BLOCKKEEP
    rad_mleft_save = ADvari::adc.Mleft;
#endif
    ADvari::adc.Mleft = 0;
    }

  if ((d = Derp::LastDerp)) {
    d->b->aval = 1;
    do d->c->aval += *d->a * d->b->aval;
    while((d = d->next));
    }
  }

 void
ADcontext::Weighted_Gradcomp(int n, ADvar **v, double *w)
{
  Derp *d;
  int i;

  if (rad_need_reinit) {
    for(d = Derp::LastDerp; d; d = d->next)
      d->c->aval = 0;
    }
  else {
    rad_need_reinit = 1;
#ifdef RAD_DEBUG_BLOCKKEEP
    rad_mleft_save = ADvari::adc.Mleft;
#endif
    ADvari::adc.Mleft = 0;
    }
  if ((d = Derp::LastDerp)) {
    for(i = 0; i < n; i++)
      v[i]->cv->aval = w[i];
    do d->c->aval += *d->a * d->b->aval;
    while((d = d->next));
    }
  }

#ifdef RAD_AUTO_AD_Const

IndepADvar::IndepADvar(double d)
{
  cv = new ADvari(this,d);
  }

IndepADvar::IndepADvar(int d)
{
  cv = new ADvari(this,d);
  }

IndepADvar::IndepADvar(long d)
{
  cv = new ADvari(this,d);
  }

#else 
IndepADvar::IndepADvar(double d)
{
  ADvari *x = new ADvari(d);
  cv = x;
  }

IndepADvar::IndepADvar(int d)
{
  ADvari *x = new ADvari((double)d);
  cv = x;
  }

IndepADvar::IndepADvar(long d)
{
  ADvari *x = new ADvari((double)d);
  cv = x;
  }

#endif /*RAD_AUTO_AD_Const*/

 void
ADvar::ADvar_ctr(double d)
{
#ifdef RAD_AUTO_AD_Const
  ADvari *x = new ADvari(this,d);
#else
  ADvari *x = ConstADvari::cadc.fpval_implies_const
    ? new ConstADvari(d)
    : new ADvari(d);
#endif
  cv = x;
  }

ConstADvar::ConstADvar()
{
  ConstADvari *x = new ConstADvari(0.);
  cv = x;
  }

 void
ConstADvar::ConstADvar_ctr(double d)
{
  ConstADvari *x = new ConstADvari(d);
  cv = x;
  }
ConstADvar::ConstADvar(const ADvari &x)
{
  ConstADvari *y = new ConstADvari(x.Val);
  Derp *d = new Derp(&CADcontext::One, y, &x);
  cv = y;
  }

 void
IndepADvar::AD_Const(const IndepADvar &v)
{
  ConstADvari *ncv = new ConstADvari(v.val());
#ifdef RAD_AUTO_AD_Const
  v.cv->padv = 0;
#endif
  ((IndepADvar*)&v)->cv = ncv;
  }

 void
ConstADvari::aval_reset()
{
  ConstADvari *x = ConstADvari::lastcad;
  while(x) {
    x->aval = 0;
    x = x->prevcad;
    }
  }

#ifdef RAD_AUTO_AD_Const

ADvari::ADvari(const IndepADvar *x, double d): Val(d), aval(0.)
{
  *Last_ADvari = this;
  Last_ADvari = &Next;
  padv = (IndepADvar*)x;
  }

ADvar1::ADvar1(const IndepADvar *x, const IndepADvar &y):
  ADvari(y.cv->Val), d(&CADcontext::One, this, y.cv)
{
  *ADvari::Last_ADvari = this;
  ADvari::Last_ADvari = &Next;
  padv = (IndepADvar*)x;
  }

ADvar1::ADvar1(const IndepADvar *x, const ADvari &y):
  ADvari(y.Val), d(&CADcontext::One, this, &y)
{
  *ADvari::Last_ADvari = this;
  ADvari::Last_ADvari = &Next;
  padv = (IndepADvar*)x;
  }

#else

 ADvar&
ADvar_operatoreq(ADvar *This, const ADvari &x)
{ This->cv = new ADvar1(x.Val, &CADcontext::One, (ADvari*)&x); return *This; }

 IndepADvar&
ADvar_operatoreq(IndepADvar *This, const ADvari &x)
{ This->cv = new ADvar1(x.Val, &CADcontext::One, (ADvari*)&x); return *This; }

#endif /*RAD_AUTO_AD_Const*/

 IndepADvar&
IndepADvar::operator=(double d)
{
#ifdef RAD_AUTO_AD_Const
  if (cv)
    cv->padv = 0;
  cv = new ADvari(this,d);
#else
  cv = new ADvari(d);
#endif
  return *this;
  }

 ADvar&
ADvar::operator=(double d)
{
#ifdef RAD_AUTO_AD_Const
  if (cv)
    cv->padv = 0;
  cv = new ADvari(this,d);
#else
  cv = ConstADvari::cadc.fpval_implies_const
    ? new ConstADvari(d)
    : new ADvari(d);
#endif
  return *this;
  }

 ADvari&
operator-(const ADvari &T) {
  return *(new ADvar1(-T.Val, &CADcontext::negOne, &T));
  }

 ADvari&
operator+(const ADvari &L, const ADvari &R) {
  return *(new ADvar2(L.Val + R.Val, &L, &CADcontext::One, &R, &CADcontext::One));
  }

 ADvar&
ADvar::operator+=(const ADvari &R) {
  ADvari *Lcv = cv;
#ifdef RAD_AUTO_AD_Const
  Lcv->padv = 0;
#endif
  cv = new ADvar2(Lcv->Val + R.Val, Lcv, &CADcontext::One, &R, &CADcontext::One);
  return *this;
  }

 ADvari&
operator+(const ADvari &L, double R) {
  return *(new ADvar1(L.Val + R, &CADcontext::One, &L));
  }

 ADvar&
ADvar::operator+=(double R) {
  ADvari *tcv = cv;
#ifdef RAD_AUTO_AD_Const
  tcv->padv = 0;
#endif
  cv = new ADvar1(tcv->Val + R, &CADcontext::One, tcv);
  return *this;
  }

 ADvari&
operator+(double L, const ADvari &R) {
  return *(new ADvar1(L + R.Val, &CADcontext::One, &R));
  }

 ADvari&
operator-(const ADvari &L, const ADvari &R) {
  return *(new ADvar2(L.Val - R.Val, &L, &CADcontext::One, &R, &CADcontext::negOne));
  }

 ADvar&
ADvar::operator-=(const ADvari &R) {
  ADvari *Lcv = cv;
#ifdef RAD_AUTO_AD_Const
  Lcv->padv = 0;
#endif
  cv = new ADvar2(Lcv->Val - R.Val, Lcv, &CADcontext::One, &R, &CADcontext::negOne);
  return *this;
  }

 ADvari&
operator-(const ADvari &L, double R) {
  return *(new ADvar1(L.Val - R, &CADcontext::One, &L));
  }

 ADvar&
ADvar::operator-=(double R) {
  ADvari *tcv = cv;
#ifdef RAD_AUTO_AD_Const
  tcv->padv = 0;
#endif
  cv = new ADvar1(tcv->Val - R, &CADcontext::One, tcv);
  return *this;
  }

 ADvari&
operator-(double L, const ADvari &R) {
  return *(new ADvar1(L - R.Val, &CADcontext::negOne, &R));
  }

 ADvari&
operator*(const ADvari &L, const ADvari &R) {
  return *(new ADvar2(L.Val * R.Val, &L, &R.Val, &R, &L.Val));
  }

 ADvar&
ADvar::operator*=(const ADvari &R) {
  ADvari *Lcv = cv;
#ifdef RAD_AUTO_AD_Const
  Lcv->padv = 0;
#endif
  cv = new ADvar2(Lcv->Val * R.Val, Lcv, &R.Val, &R, &Lcv->Val);
  return *this;
  }

 ADvari&
operator*(const ADvari &L, double R) {
  return *(new ADvar1s(L.Val * R, R, &L));
  }

 ADvar&
ADvar::operator*=(double R) {
  ADvari *Lcv = cv;
#ifdef RAD_AUTO_AD_Const
  Lcv->padv = 0;
#endif
  cv = new ADvar1s(Lcv->Val * R, R, Lcv);
  return *this;
  }

 ADvari&
operator*(double L, const ADvari &R) {
  return *(new ADvar1s(L * R.Val, L, &R));
  }

 ADvari&
operator/(const ADvari &L, const ADvari &R) {
  double Lv = L.Val, Rv = R.Val, pL = 1. / Rv, q = Lv/Rv;
  return *(new ADvar2q(q, pL, -q*pL, &L, &R));
  }

 ADvar&
ADvar::operator/=(const ADvari &R) {
  ADvari *Lcv = cv;
#ifdef RAD_AUTO_AD_Const
  Lcv->padv = 0;
#endif
  double Lv = Lcv->Val, Rv = R.Val, pL = 1. / Rv, q = Lv/Rv;
  cv = new ADvar2q(q, pL, -q*pL, Lcv, &R);
  return *this;
  }

 ADvari&
operator/(const ADvari &L, double R) {
  return *(new ADvar1s(L.Val / R, 1./R, &L));
  }

 ADvari&
operator/(double L, const ADvari &R) {
  double recip = 1. / R.Val;
  double q = L * recip;
  return *(new ADvar1s(q, -q*recip, &R));
  }

 ADvar&
ADvar::operator/=(double R) {
  ADvari *Lcv = cv;
#ifdef RAD_AUTO_AD_Const
  Lcv->padv = 0;
#endif
  cv = new ADvar1s(Lcv->Val / R, 1./R, Lcv);
  return *this;
  }

 ADvari&
acos(const ADvari &v) {
  double t = v.Val;
  return *(new ADvar1s(acos(t), -1./sqrt(1. - t*t), &v));
  }

 ADvari&
acosh(const ADvari &v) {
  double t = v.Val, t1 = sqrt(t*t - 1.);
  return *(new ADvar1s(log(t + t1), 1./t1, &v));
  }

 ADvari&
asin(const ADvari &v) {
  double t = v.Val;
  return *(new ADvar1s(asin(t), 1./sqrt(1. - t*t), &v));
  }

 ADvari&
asinh(const ADvari &v) {
  double t = v.Val, td = 1., t1 = sqrt(t*t + 1.);
  if (t < 0.) {
    t = -t;
    td = -1.;
    }
  return *(new ADvar1s(td*log(t + t1), 1./t1, &v));
  }

 ADvari&
atan(const ADvari &v) {
  double t = v.Val;
  return *(new ADvar1s(atan(t), 1./(1. + t*t), &v));
  }

 ADvari&
atanh(const ADvari &v) {
  double t = v.Val;
  return *(new ADvar1s(0.5*log((1.+t)/(1.-t)), 1./(1. - t*t), &v));
  }

 ADvari&
max(const ADvari &L, const ADvari &R) {
  const ADvari &x = L.Val >= R.Val ? L : R;
  return *(new ADvar1(x.Val, &CADcontext::One, &x));
  }

 ADvari&
max(double L, const ADvari &R) {
  if (L >= R.Val)
    return *(new ADvari(L));
  return *(new ADvar1(R.Val, &CADcontext::One, &R));
  }

 ADvari&
max(const ADvari &L, double R) {
  if (L.Val >= R)
    return *(new ADvar1(L.Val, &CADcontext::One, &L));
  return *(new ADvari(R));
  }

 ADvari&
min(const ADvari &L, const ADvari &R) {
  const ADvari &x = L.Val <= R.Val ? L : R;
  return *(new ADvar1(x.Val, &CADcontext::One, &x));
  }

 ADvari&
min(double L, const ADvari &R) {
  if (L <= R.Val)
    return *(new ADvari(L));
  return *(new ADvar1(R.Val, &CADcontext::One, &R));
  }

 ADvari&
min(const ADvari &L, double R) {
  if (L.Val <= R)
    return *(new ADvar1(L.Val, &CADcontext::One, &L));
  return *(new ADvari(R));
  }

 ADvari&
atan2(const ADvari &L, const ADvari &R) {
  double x = L.Val, y = R.Val, t = x*x + y*y;
  return *(new ADvar2q(atan2(x,y), y/t, -x/t, &L, &R));
  }

 ADvari&
atan2(double x, const ADvari &R) {
  double y = R.Val, t = x*x + y*y;
  return *(new ADvar1s(atan2(x,y), -x/t, &R));
  }

 ADvari&
atan2(const ADvari &L, double y) {
  double x = L.Val, t = x*x + y*y;
  return *(new ADvar1s(atan2(x,y), y/t, &L));
  }

 ADvari&
cos(const ADvari &v) {
  return *(new ADvar1s(cos(v.Val), -sin(v.Val), &v));
  }

 ADvari&
cosh(const ADvari &v) {
  return *(new ADvar1s(cosh(v.Val), sinh(v.Val), &v));
  }

 ADvari&
exp(const ADvari &v) {
  ADvar1* rcv = new ADvar1(exp(v.Val), &v);
  rcv->d.a = &rcv->Val;
  rcv->d.b = rcv;
  return *rcv;
  }

 ADvari&
log(const ADvari &v) {
  double x = v.Val;
  return *(new ADvar1s(log(x), 1. / x, &v));
  }

 ADvari&
log10(const ADvari &v) {
  static double num = 1. / log(10.);
  double x = v.Val;
  return *(new ADvar1s(log10(x), num / x, &v));
  }

 ADvari&
pow(const ADvari &L, const ADvari &R) {
  double x = L.Val, y = R.Val, t = pow(x,y);
  return *(new ADvar2q(t, y*t/x, t*log(x), &L, &R));
  }

 ADvari&
pow(double x, const ADvari &R) {
  double t = pow(x,R.Val);
  return *(new ADvar1s(t, t*log(x), &R));
  }

 ADvari&
pow(const ADvari &L, double y) {
  double x = L.Val, t = pow(x,y);
  return *(new ADvar1s(t, y*t/x, &L));
  }

 ADvari&
sin(const ADvari &v) {
  return *(new ADvar1s(sin(v.Val), cos(v.Val), &v));
  }

 ADvari&
sinh(const ADvari &v) {
  return *(new ADvar1s(sinh(v.Val), cosh(v.Val), &v));
  }

 ADvari&
sqrt(const ADvari &v) {
  double t = sqrt(v.Val);
  return *(new ADvar1s(t, 0.5/t, &v));
  }

 ADvari&
tan(const ADvari &v) {
  double t = cos(v.Val);
  return *(new ADvar1s(tan(v.Val), 1./(t*t), &v));
  }

 ADvari&
tanh(const ADvari &v) {
  double t = 1. / cosh(v.Val);
  return *(new ADvar1s(tanh(v.Val), t*t, &v));
  }

 ADvari&
fabs(const ADvari &v) { // "fabs" is not the best choice of name,
      // but this name is used at Sandia.
  double t, p;
  p = 1;
  if ((t = v.Val) < 0) {
    t = -t;
    p = -p;
    }
  return *(new ADvar1s(t, p, &v));
  }

 ADvari&
ADf1(double f, double g, const ADvari &x) {
  return *(new ADvar1s(f, g, &x));
  }

 ADvari&
ADf2(double f, double gx, double gy, const ADvari &x, const ADvari &y) {
  return *(new ADvar2q(f, gx, gy, &x, &y));
  }

ADvarn::ADvarn(double val1, int n1, const ADvar *x, const double *g): ADvari(val1), n(n1)
{
  Derp *d1, *dlast;
  double *a1;
  int i;

  a1 = a = (double*)ADvari::adc.Memalloc(n*sizeof(*a));
  d1 = Da =  (Derp*)ADvari::adc.Memalloc(n*sizeof(Derp));
  dlast = Derp::LastDerp;
  for(i = 0; i < n1; i++, d1++) {
    d1->next = dlast;
    dlast = d1;
    a1[i] = g[i];
    d1->a = &a1[i];
    d1->b = this;
    d1->c = x[i].cv;
    }
  Derp::LastDerp = dlast;
  }

 ADvari&
ADfn(double f, int n, const ADvar *x, const double *g) {
  return *(new ADvarn(f, n, x, g));
  }

} // namespace Radnt
} // namespace Sacado

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