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From Luc Maisonobe <>
Subject Re: [math] Total derivative of a MultivariateVectorFunction
Date Sat, 25 May 2013 19:27:38 GMT
Hi Christoph,

Le 23/05/2013 10:39, Christoph Höger a écrit :
> Am 22.05.2013 22:50, schrieb Luc Maisonobe:
>> I am not sure I understood your use case properly. I'll look at it further in the
next few days.
>> A first very quick answer is that the interface as it is defined does not seem to
correspond to your needs.
>> In the current interface, the meaning of the two "value" method is the same. So the
various elements in
>> The point array should be the same. In your case, I think you already use the array
to represent derivatives
>> of the first element, so I think you expanded the content of what should be a single
DerivativeStructure instance as a double array.
>> Are you sure you should not use a univariate function ? The DerivativeStructure argument
you would get
>> would contain all the partial derivatives already.
>> Once again, I'm not sure I understood your example properly as I did not find the
time to think about it for now.
>> Best regards,
>> Luc
> Hi Luc,
> I am trying to motivate the problem:
> Consider the simple pendulum equation
> x² + y² - L² = 0
> I could use DerivativeStructure to solve for that equation by using e.g.
> NewtonRaphson.
> But in a model, x and y are actually depending on the free variable t,
> so I may require the total derivative of the above equation, e.g.:
> 2*x*dx + 2*y*dy = 0
> Again, I want to be able to solve for that equation by using an
> iterative method. The thing is: This total derivative has now more
> parameters than the original equation (namely dx and dy).
> If I model it that way, I can pass the x and y parameters to the base
> function, evaluate the partial derivatives (2x and 2y) and multiply them
> with the total derivatives dx and dy. The problem here is that the
> base-equations partial derivatives are not constant (the second order
> partial derivatives are, though). So I somehow need to reflect that for
> the numerical solver. That's why I thought, I should make the derivative
> also a MultivariateDifferentialFunction.

The differentiation framework does not mandate that the number of
arguments of the Java method implementing the mathematical functions are
equal. One parameter (say x for example) can be a function of another
parameter (say t), or even a function of n different parameters x =
f(p1, p2, p3, ..., pn). You do not even need to know the number of free
variables when you use x, and the same code can be reused with x  being
the free variable, x, being a function of one free variable t or x being
a function of n free variables p1, ... pn. In all cases, whan you
compute x * x the appropriate number of derivatives will be computed for

So I would suggest the following in your case: implement in the most
straightforward way your function using a few intermediate functions.
Let's say for example that x = a cos(t) and y = b sin(t) (i.e. you are
working on an ellipse):

      public DerivativeStructure x(DerivativeStructure t) {
        return t.cos().multiply(a);

      public DerivativeStructure y(DerivativeStructure t) {
        return t.cos().multiply(b);

      public DerivativeStructure f(DerivativeStructure x,
                                   DerivativeStructure y) {
        return x.multiply(x).add(y.multiply(y)).add(l * l);

When you want to solve f with respect to t, you would simply do

 UnivariateDifferentiableSolver solver =
   new NewtonRaphsonSolver(absoluteAccuracy);

 UnivariateDifferentiableFunction func =
    new UnivariateDifferentiableFunction() {

      public double value(double t) {
        // not really used
        return value(new DerivativeStructure(1, 0, t)).getValue();

      public DerivativeStructure value(DerivativeStructure t) {
        return f(x(t), y(t));

 double tRoot = solver.solve(maxEval, func, min, max);

If on the other hand you need to optimize something using x and y
as independent free variables, then you would set up a multivariate
function as:

 MultivariateDifferentiableFunction func =
    new MultivariateDifferentiableFunction() {

      public double value(double[] p) {
        // not really used
        return value(new DerivativeStructure[] {
                       new DerivativeStructure(1, 0, p[0]),
                       new DerivativeStructure(1, 0, p[1])

      public DerivativeStructure value(DerivativeStructure[] p) {
        return f(p[0], p[1]);


There are two things to note.

The first one is that in both cases, you can reuse the same
implementation of the function f. When called in the first case, it will
be called with DerivativeStructure instances that will have one free
variable (which is t) and differentiation order 1, so it will return a
DerivativeStructure with the same structure and which will therefore
contain two values: f and df/dt. When called in the second case, it will
be called with DerivativeStructure instances that will have two free
variables (which are x and y) and differentiation order 1, so it will
return a DerivativeStructure with the same structure and which will
therefore contain three values: f,  df/dx and df/dy. The f function
adapts itself to the structure of its arguments and nothing in the code
of the function knows about the number of free variables or order of
derivation. In fact, if you call f with x and y each having hundreds of
partial derivatives, then the result would have the same number of
partial derivatives.

The second thing to note is a consequence of the first one: you don't
explicitely write the total derivative 2*x*dx + 2*y*dy, it is implicitly
computed directly by the framework.

Does this make sense to you?



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