quadratic-residual.hpp

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#pragma once
 
#include "proxsuite-nlp/cost-function.hpp"
#include "proxsuite-nlp/function-base.hpp"
 
namespace proxsuite {
namespace nlp {
 
template <typename _Scalar>
struct QuadraticResidualCostTpl : public CostFunctionBaseTpl<_Scalar> {
public:
  using Scalar = _Scalar;
  using FunctionType = C2FunctionTpl<Scalar>; // base constraint func to use
  PROXSUITE_NLP_DYNAMIC_TYPEDEFS(Scalar);
  using RowMatrixXs = Eigen::Matrix<Scalar, -1, -1, Eigen::RowMajor>;
  using Base = CostFunctionBaseTpl<Scalar>;
  using Base::computeGradient;
  using Base::computeHessian;
  using FunctionPtr = shared_ptr<FunctionType>;
 
  FunctionPtr residual_;
  MatrixXs weights_;
  VectorXs slope_;
  Scalar constant_;
  bool gauss_newton_;
 
  QuadraticResidualCostTpl(FunctionPtr residual, const ConstMatrixRef &weights,
                           const ConstVectorRef &slope,
                           const Scalar constant = Scalar(0.));
 
  QuadraticResidualCostTpl(FunctionPtr residual, const ConstMatrixRef &weights,
                           const Scalar constant = Scalar(0.))
      : QuadraticResidualCostTpl(residual, weights,
                                 VectorXs::Zero(residual->nr()), constant) {}
 
  template <typename Underlying, typename... ResidualArgs>
  QuadraticResidualCostTpl(const ConstMatrixRef &weights,
                           const ConstVectorRef &slope, const Scalar constant,
                           ResidualArgs &...args)
      : QuadraticResidualCostTpl(std::make_shared<Underlying>(args...), weights,
                                 slope, constant) {}
 
  Scalar call(const ConstVectorRef &x) const;
 
  void computeGradient(const ConstVectorRef &x, VectorRef out) const;
 
  void computeHessian(const ConstVectorRef &x, MatrixRef out) const;
 
protected:
  mutable VectorXs err;
  mutable VectorXs tmp_w_err;
  mutable MatrixXs Jres;
  mutable RowMatrixXs JtW;
  mutable MatrixXs H;
};
 
} // namespace nlp
} // namespace proxsuite
 
#include "proxsuite-nlp/modelling/costs/quadratic-residual.hxx"
 
#ifdef PROXSUITE_NLP_ENABLE_TEMPLATE_INSTANTIATION
#include "proxsuite-nlp/modelling/costs/quadratic-residual.txx"
#endif