ForwardDifferenceGradientEstimate.cc

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/*
 * $Id: ForwardDifferenceGradientEstimate.cc 137 2013-06-29 15:10:31Z jdl3 $
 * Copyright (C) 2011, 2013 John D Lamb
 *
 * This program is free software; you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation; either version 2 of the License, or (at
 * your option) any later version.
 * 
 * This program 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
 * General Public License for more details.
 * 
 * You should have received a copy of the GNU General Public License
 * along with this program; if not, write to the Free Software
 * Foundation, Inc., 675 Mass Ave, Cambridge, MA 02139, USA.
 */

#ifdef HAVE_CONFIG_H
#  include<config.h>
#endif

#include"ForwardDifferenceGradientEstimate.hpp"

using namespace ipo_function::detail;

ForwardDifferenceGradientEstimate::ForwardDifferenceGradientEstimate( Function& function,
                                      double const h )
  : function( function ), h { h }{}

void
ForwardDifferenceGradientEstimate::setVector( gsl::vector const& vector ){
  // This is where all the work is done. First find functionValue.
  functionValue = function( vector );
  // Now find SIZE
  const size_t SIZE { vector.size() };
  // Set up storage for f(x + h e_i) and f(x + h e_i + h e_j)
  auto diffVector = gsl::vector( SIZE );
  // Fill diffVector
  for( size_t i { 0 }; i < SIZE; ++i ){
    double tmp { vector.get( i ) };
    const_cast<gsl::vector&>( vector ).set( i, tmp + h );
    diffVector.set( i, function( vector ) );
    const_cast<gsl::vector&>( vector ).set( i, tmp );
    // vector returned to original value.
  }

  // set up functionGradient
  if( getSize() != SIZE ) functionGradient = gsl::vector( SIZE );
  // calculate gradient: forward difference quotient
  for( size_t i { 0 }; i < SIZE; ++i ){
    double const diff { diffVector.get( i ) - functionValue };
    //std::cout << "[" << functionValue << "," << diffVector.get( i ) << "]: "
    //<< (diff / h) << std::endl;
    functionGradient.set( i, diff / h );
  }
}