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@(@\newcommand{\W}[1]{ \; #1 \; } \newcommand{\R}[1]{ {\rm #1} } \newcommand{\B}[1]{ {\bf #1} } \newcommand{\D}[2]{ \frac{\partial #1}{\partial #2} } \newcommand{\DD}[3]{ \frac{\partial^2 #1}{\partial #2 \partial #3} } \newcommand{\Dpow}[2]{ \frac{\partial^{#1}}{\partial {#2}^{#1}} } \newcommand{\dpow}[2]{ \frac{ {\rm d}^{#1}}{{\rm d}\, {#2}^{#1}} }@)@
ColPack: Sparse Hessian Example and Test

# include <cppad/cppad.hpp>
bool colpack_hessian(void)
{     bool ok = true;
     using CppAD::AD;
     using CppAD::NearEqual;
     typedef CPPAD_TESTVECTOR(AD<double>) a_vector;
     typedef CPPAD_TESTVECTOR(double)     d_vector;
     typedef CppAD::vector<size_t>        i_vector;
     size_t i, j, k, ell;
     double eps = 10. * CppAD::numeric_limits<double>::epsilon();

     // domain space vector
     size_t n = 5;
     a_vector  a_x(n);
     for(j = 0; j < n; j++)
          a_x[j] = AD<double> (0);

     // declare independent variables and starting recording
     CppAD::Independent(a_x);

     // colpack example case where hessian is a spear head
     // i.e, H(i, j) non zero implies i = 0, j = 0, or i = j
     AD<double> sum = 0.0;
     // partial_0 partial_j = x[j]
     // partial_j partial_j = x[0]
     for(j = 1; j < n; j++)
          sum += a_x[0] * a_x[j] * a_x[j] / 2.0;
     //
     // partial_i partial_i = 2 * x[i]
     for(i = 0; i < n; i++)
          sum += a_x[i] * a_x[i] * a_x[i] / 3.0;

     // declare dependent variables
     size_t m = 1;
     a_vector  a_y(m);
     a_y[0] = sum;

     // create f: x -> y and stop tape recording
     CppAD::ADFun<double> f(a_x, a_y);

     // new value for the independent variable vector
     d_vector x(n);
     for(j = 0; j < n; j++)
          x[j] = double(j + 1);

     /*
           [ 2  2  3  4  5 ]
     hes = [ 2  5  0  0  0 ]
           [ 3  0  7  0  0 ]
           [ 4  0  0  9  0 ]
           [ 5  0  0  0 11 ]
     */
     d_vector check(n * n);
     for(i = 0; i < n; i++)
     {     for(j = 0; j < n; j++)
          {     size_t index = i * n + j;
               check[index] = 0.0;
               if( i == 0 && 1 <= j )
                    check[index] += x[j];
               if( 1 <= i && j == 0 )
                    check[index] += x[i];
               if( i == j )
               {     check[index] += 2.0 * x[i];
                    if( i != 0 )
                         check[index] += x[0];
               }
          }
     }
     // Normally one would use f.RevSparseHes to compute
     // sparsity pattern, but for this example we extract it from check.
     std::vector< std::set<size_t> >  p(n);
     i_vector row, col;
     for(i = 0; i < n; i++)
     {     for(j = 0; j < n; j++)
          {     ell = i * n + j;
               if( check[ell] != 0. )
               {     // insert this non-zero entry in sparsity pattern
                    p[i].insert(j);

                    // the Hessian is symmetric, so only lower triangle
                    if( j <= i )
                    {     row.push_back(i);
                         col.push_back(j);
                    }
               }
          }
     }
     size_t K = row.size();
     d_vector hes(K);

     // default coloring method is cppad.symmetric
     CppAD::sparse_hessian_work work;
     ok &= work.color_method == "cppad.symmetric";

     // contrast and check results for both CppAD and Colpack
     for(size_t i_method = 0; i_method < 4; i_method++)
     {     // empty work structure
          switch(i_method)
          {     case 0:
               work.color_method = "cppad.symmetric";
               break;

               case 1:
               work.color_method = "cppad.general";
               break;

               case 2:
               work.color_method = "colpack.symmetric";
               break;

               case 3:
               work.color_method = "colpack.general";
               break;
          }

          // compute Hessian
          d_vector w(m);
          w[0] = 1.0;
          size_t n_sweep = f.SparseHessian(x, w, p, row, col, hes, work);
          //
          // check result
          for(k = 0; k < K; k++)
          {     ell = row[k] * n + col[k];
               ok &= NearEqual(check[ell], hes[k], eps, eps);
          }
          if(
               work.color_method == "cppad.symmetric"
          ||     work.color_method == "colpack.symmetric"
          )
               ok &= n_sweep == 2;
          else
               ok &= n_sweep == 5;
          //
          // check that clear resets color_method to cppad.symmetric
          work.clear();
          ok &= work.color_method == "cppad.symmetric";
     }

     return ok;
}

Input File: example/sparse/colpack_hessian.cpp