Evaluate a Function That Has a Sparse Hessian

Syntax
# include <cppad/speed/sparse_hes_fun.hpp>  sparse_hes_fun(n, x, row, col, p, fp)

Purpose
This routine evaluates $f(x)$, $f^{(1)} (x)$, or $f^{(2)} (x)$ where the Hessian $f^{(2)} (x)$ is sparse. The function $f : \B{R}^n \rightarrow \B{R}$ only depends on the size and contents of the index vectors row and col . The non-zero entries in the Hessian of this function have one of the following forms: $$\DD{f}{x[row[k]]}{x[row[k]]} \; , \; \DD{f}{x[row[k]]}{x[col[k]]} \; , \; \DD{f}{x[col[k]]}{x[row[k]]} \; , \; \DD{f}{x[col[k]]}{x[col[k]]}$$ for some $k$ between zero and $K-1$. All the other terms of the Hessian are zero.

Inclusion
The template function sparse_hes_fun is defined in the CppAD namespace by including the file cppad/speed/sparse_hes_fun.hpp (relative to the CppAD distribution directory).

Float
The type Float must be a NumericType . In addition, if y and z are Float objects,       y = exp(z)  must set the y equal the exponential of z , i.e., the derivative of y with respect to z is equal to y .

FloatVector
The type FloatVector is any SimpleVector , or it can be a raw pointer, with elements of type Float .

n
The argument n has prototype       size_t n  It specifies the dimension for the domain space for $f(x)$.

x
The argument x has prototype       const FloatVector& x  It contains the argument value for which the function, or its derivative, is being evaluated. We use $n$ to denote the size of the vector x .

row
The argument row has prototype        const CppAD::vector<size_t>& row  It specifies one of the first index of $x$ for each non-zero Hessian term (see purpose above). All the elements of row must be between zero and n-1 . The value $K$ is defined by K = row.size() .

col
The argument col has prototype        const CppAD::vector<size_t>& col  and its size must be $K$; i.e., the same as for col . It specifies the second index of $x$ for the non-zero Hessian terms. All the elements of col must be between zero and n-1 . There are no duplicated entries requested, to be specific, if k1 != k2 then       ( row[k1] , col[k1] ) != ( row[k2] , col[k2] ) 
p
The argument p has prototype       size_t p  It is either zero or two and specifies the order of the derivative of $f$ that is being evaluated, i.e., $f^{(p)} (x)$ is evaluated.

fp
The argument fp has prototype       FloatVector& fp  The input value of the elements of fp does not matter.

Function
If p is zero, fp has size one and fp[0] is the value of $f(x)$.

Hessian
If p is two, fp has size K and for $k = 0 , \ldots , K-1$, $$\DD{f}{ x[ \R{row}[k] ] }{ x[ \R{col}[k] ]} = fp [k]$$

Example
The file sparse_hes_fun.cpp contains an example and test of sparse_hes_fun.hpp. It returns true if it succeeds and false otherwise.

Source Code
The file sparse_hes_fun.hpp contains the source code for this template function.