Function icasadi::estimate_local_lipschitz_squared

pub fn estimate_local_lipschitz_squared(
    u: &mut [f64],
    p: &[f64],
    jac: &mut [f64],
    workspace: &mut [f64]
) -> f64

Estimates a local squared Lipschitz constant for the gradient of the cost

Input arguments:

• u point where the squared Lipschitz constant is estimated
• p parameter
• jac a slice which is updated with the Jacobian matrix of the cost function at u; the provided value of jac is not used
• workspace externally allocated workspace memory

Output arguments:

• local squared Lipschitz constant (at point (u, p))

Method

This function computes a numerical approximation of the norm of the directional derivative of gradf along a direction h = max {delta, epsilon*u}, where delta and epsilon are small numbers.

Example

let mut u: [f64; 10] = [1.0, 2.0, 3.0, -5.0, 1.0, 10.0, 14.0, 17.0, 3.0, 5.0];
let p = [1.0, -1.0];
let mut cost_value = 0.0;
let mut jac = vec![0.0; icasadi::num_decision_variables()];
let lip = icasadi::estimate_local_lipschitz_squared(&mut u, &p, &mut jac, &mut [0.0_f64; 10]);

Panics

No rust-side panics, unless the C function which is called via this interface fails.

Why squared?

We are trying to keep most crated under #![no_std] and the square root is not supported in no_std mode.