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135 lines
3.8 KiB
135 lines
3.8 KiB
/*
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* This file is part of ACADO Toolkit.
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*
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* ACADO Toolkit -- A Toolkit for Automatic Control and Dynamic Optimization.
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* Copyright (C) 2008-2014 by Boris Houska, Hans Joachim Ferreau,
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* Milan Vukov, Rien Quirynen, KU Leuven.
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* Developed within the Optimization in Engineering Center (OPTEC)
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* under supervision of Moritz Diehl. All rights reserved.
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*
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* ACADO Toolkit is free software; you can redistribute it and/or
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* modify it under the terms of the GNU Lesser General Public
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* License as published by the Free Software Foundation; either
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* version 3 of the License, or (at your option) any later version.
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*
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* ACADO Toolkit is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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* Lesser General Public License for more details.
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*
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* You should have received a copy of the GNU Lesser General Public
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* License along with ACADO Toolkit; if not, write to the Free Software
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* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA
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*
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*/
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/**
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* \file include/acado/nlp_derivative_approximation/exact_hessian.hpp
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* \author Boris Houska, Hans Joachim Ferreau
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*
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*/
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#ifndef ACADO_TOOLKIT_EXACT_HESSIAN_HPP
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#define ACADO_TOOLKIT_EXACT_HESSIAN_HPP
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#include <acado/utils/acado_utils.hpp>
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#include <acado/nlp_derivative_approximation/nlp_derivative_approximation.hpp>
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BEGIN_NAMESPACE_ACADO
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/**
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* \brief Implements an exact Hessian computation for obtaining second-order derivatives within NLPsolvers.
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*
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* \ingroup NumericalAlgorithms
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*
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* The class ExactHessian implements an exact Hessian computation for obtaining
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* second-order derivatives within iterative NLPsolvers.
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*
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* \author Boris Houska, Hans Joachim Ferreau
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*/
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class ExactHessian : public NLPderivativeApproximation
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{
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//
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// PUBLIC MEMBER FUNCTIONS:
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//
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public:
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/** Default constructor. */
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ExactHessian( );
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/** Default constructor. */
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ExactHessian( UserInteraction* _userInteraction
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);
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/** Copy constructor (deep copy). */
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ExactHessian( const ExactHessian& rhs );
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/** Destructor. */
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virtual ~ExactHessian( );
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/** Assignment operator (deep copy). */
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ExactHessian& operator=( const ExactHessian& rhs );
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virtual NLPderivativeApproximation* clone( ) const;
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virtual returnValue initHessian( BlockMatrix& B, /**< matrix to be initialised */
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uint N, /**< number of intervals */
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const OCPiterate& iter /**< current iterate */
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);
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virtual returnValue initScaling( BlockMatrix& B, /**< matrix to be updated */
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const BlockMatrix& x, /**< direction x */
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const BlockMatrix& y /**< residuum */
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);
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/** Applies a BFGS update in its "standard" form: \n
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* \n
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* B = B - B*x*x^T*B/(x^T*B*x) + y*y^T/(x^T*y) \n
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* \n
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* \return SUCCESSFUL_RETURN \n
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*/
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virtual returnValue apply( BlockMatrix &B, /**< matrix to be updated */
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const BlockMatrix &x, /**< direction x */
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const BlockMatrix &y /**< residuum */ );
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inline double getHessianScaling( ) const;
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//
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// PROTECTED MEMBER FUNCTIONS:
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//
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protected:
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//
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// PROTECTED DATA MEMBERS:
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//
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protected:
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};
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CLOSE_NAMESPACE_ACADO
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//#include <acado/nlp_derivative_approximation/exact_hessian.ipp>
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#endif // ACADO_TOOLKIT_EXACT_HESSIAN_HPP
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/*
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* end of file
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*/
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