Macro get_jacobian

macro_rules! get_jacobian {
    ($f:ident, $func_name:ident) => { ... };
}

Get a function that returns the Jacobian of the provided multivariate, vector-valued function.

The Jacobian is computed using forward-mode automatic differentiation.

Arguments

• f - Multivariate, vector-valued function, $\mathbf{f}:\mathbb{R}^{n}\to\mathbb{R}^{m}$.
• func_name - Name of the function that will return the Jacobian of $\mathbf{f}(\mathbf{x})$ at any point $\mathbf{x}\in\mathbb{R}^{n}$.

Defining f

The multivariate, vector-valued function f must have the following function signature:

fn f<S: Scalar, V: Vector<S>>(x: &V) -> V::DVectorT<S> {
    // place function contents here
}

For the automatic differentiation to work, f must be fully generic over the types of scalars and vectors used. Additionally, the function must return an instance of V::DVector (a dynamically-sized vector type that is compatible with V, see the linalg-traits docs for more information) since we did not want to burden the user with having to specify the size of the output vector (i.e. $m$, where $\mathbf{f}:\mathbb{R}^{n}\to\mathbb{R}^{m}$) at compile time, especially since users may be using this crate exclusively with dynamically-sized types.

Warning

f cannot be defined as closure. It must be defined as a function.

Warning

This Jacobian function generated by this macro will always return a dynamically-sized matrix, even if the function f uses statically-sized vectors. This is to avoid needing to pass a const generic to this function to define the number of rows ($m$) of the Jacobian. Instead, the number of rows is determined at runtime.

Note

The function produced by this macro will perform $n$ evaluations of $\mathbf{f}(\mathbf{x})$ to evaluate its Jacobian.

Example

Compute the Jacobian of

$$ \mathbf{f}(\mathbf{x})= \begin{bmatrix} x_{0} \\ 5x_{2} \\ 4x_{1}^{2}-2x_{2} \\ x_{2}\sin{x_{0}} \end{bmatrix} $$

at $\mathbf{x}=(5,6,7)^{T}$, and compare the result to the true result of

$$ \mathbf{J}\left((5,6,7)^{T}\right)= \begin{bmatrix} 1 & 0 & 0 \\ 0 & 0 & 5 \\ 0 & 48 & -2 \\ 7\cos{(5)} & 0 & \sin{(5)} \end{bmatrix} $$

Using standard vectors

use linalg_traits::{Mat, Matrix, Scalar, Vector};
use numtest::*;

use numdiff::{get_jacobian, Dual, DualVector};

// Define the function, f(x).
fn f<S: Scalar, V: Vector<S>>(x: &V) -> V::DVectorT<S> {
    V::DVectorT::from_slice(&[
        x.vget(0),
        x.vget(2) * 5.0,
        x.vget(1).powi(2) * 4.0 - x.vget(2) * 2.0,
        x.vget(2) * x.vget(0).sin(),
    ])
}

// Define the evaluation point.
let x0 = vec![5.0, 6.0, 7.0];

// Autogenerate the function "jac" that can be used to compute the Jacobian of f(x) at any point
// x.
get_jacobian!(f, jac);

// Evaluate the Jacobian using "jac".
let jac_eval: Mat<f64> = jac(&x0);

// True Jacobian of f(x) at the evaluation point.
let jac_eval_true: Mat<f64> = Mat::from_row_slice(
    4,
    3,
    &[
        1.0,
        0.0,
        0.0,
        0.0,
        0.0,
        5.0,
        0.0,
        48.0,
        -2.0,
        7.0 * 5.0_f64.cos(),
        0.0,
        5.0_f64.sin(),
    ],
);

// Verify that the Jacobian function obtained using get_jacobian! computes the Jacobian
// correctly.
assert_eq!(jac_eval, jac_eval_true);

Using other vector types

The function produced by get_jacobian! can accept any type for x0, as long as it implements the linalg_traits::Vector trait.

use faer::Mat;
use linalg_traits::{Scalar, Vector};
use nalgebra::{dvector, DMatrix, DVector, SVector};
use ndarray::{array, Array1, Array2};

use numdiff::{get_jacobian, Dual, DualVector};

// Define the function, f(x).
fn f<S: Scalar, V: Vector<S>>(x: &V) -> V::DVectorT<S> {
    V::DVectorT::from_slice(&[
        x.vget(0),
        x.vget(2) * 5.0,
        x.vget(1).powi(2) * 4.0 - x.vget(2) * 2.0,
        x.vget(2) * x.vget(0).sin(),
    ])
}

// Autogenerate the function "jac" that can be used to compute the Jacobian of f(x) at any point
// x.
get_jacobian!(f, jac);

// nalgebra::DVector
let x0: DVector<f64> = dvector![5.0, 6.0, 7.0];
let jac_eval: DMatrix<f64> = jac(&x0);

// nalgebra::SVector
let x0: SVector<f64, 3> = SVector::from_slice(&[5.0, 6.0, 7.0]);
let jac_eval: DMatrix<f64> = jac(&x0);

// ndarray::Array1
let x0: Array1<f64> = array![5.0, 6.0, 7.0];
let jac_eval: Array2<f64> = jac(&x0);

// faer::Mat
let x0: Mat<f64> = Mat::from_slice(&[5.0, 6.0, 7.0]);
let jac_eval: Mat<f64> = jac(&x0);