# ifndef CPPAD_CORE_HESSIAN_HPP
# define CPPAD_CORE_HESSIAN_HPP
/* --------------------------------------------------------------------------
CppAD: C++ Algorithmic Differentiation: Copyright (C) 2003-18 Bradley M. Bell

CppAD is distributed under the terms of the
             Eclipse Public License Version 2.0.

This Source Code may also be made available under the following
Secondary License when the conditions for such availability set forth
in the Eclipse Public License, Version 2.0 are satisfied:
      GNU General Public License, Version 2.0 or later.
---------------------------------------------------------------------------- */

/*
$begin Hessian$$
$spell
    hes
    typename
    Taylor
    HesLuDet
    const
$$


$section Hessian: Easy Driver$$

$head Syntax$$
$icode%hes% = %f%.Hessian(%x%, %w%)
%$$
$icode%hes% = %f%.Hessian(%x%, %l%)
%$$


$head Purpose$$
We use $latex F : \B{R}^n \rightarrow \B{R}^m$$ to denote the
$cref/AD function/glossary/AD Function/$$ corresponding to $icode f$$.
The syntax above sets $icode hes$$ to the Hessian
The syntax above sets $icode h$$ to the Hessian
$latex \[
    hes = \dpow{2}{x} \sum_{i=1}^m w_i F_i (x)
\] $$
The routine $cref sparse_hessian$$ may be faster in the case
where the Hessian is sparse.

$head f$$
The object $icode f$$ has prototype
$codei%
    ADFun<%Base%> %f%
%$$
Note that the $cref ADFun$$ object $icode f$$ is not $code const$$
(see $cref/Hessian Uses Forward/Hessian/Hessian Uses Forward/$$ below).

$head x$$
The argument $icode x$$ has prototype
$codei%
    const %Vector% &%x%
%$$
(see $cref/Vector/Hessian/Vector/$$ below)
and its size
must be equal to $icode n$$, the dimension of the
$cref/domain/seq_property/Domain/$$ space for $icode f$$.
It specifies
that point at which to evaluate the Hessian.

$head l$$
If the argument $icode l$$ is present, it has prototype
$codei%
    size_t %l%
%$$
and is less than $icode m$$, the dimension of the
$cref/range/seq_property/Range/$$ space for $icode f$$.
It specifies the component of $icode F$$
for which we are evaluating the Hessian.
To be specific, in the case where the argument $icode l$$ is present,
$latex \[
    w_i = \left\{ \begin{array}{ll}
        1 & i = l \\
        0 & {\rm otherwise}
    \end{array} \right.
\] $$

$head w$$
If the argument $icode w$$ is present, it has prototype
$codei%
    const %Vector% &%w%
%$$
and size $latex m$$.
It specifies the value of $latex w_i$$ in the expression
for $icode h$$.

$head hes$$
The result $icode hes$$ has prototype
$codei%
    %Vector% %hes%
%$$
(see $cref/Vector/Hessian/Vector/$$ below)
and its size is $latex n * n$$.
For $latex j = 0 , \ldots , n - 1 $$
and $latex \ell = 0 , \ldots , n - 1$$
$latex \[
    hes [ j * n + \ell ] = \DD{ w^{\rm T} F }{ x_j }{ x_\ell } ( x )
\] $$

$head Vector$$
The type $icode Vector$$ must be a $cref SimpleVector$$ class with
$cref/elements of type/SimpleVector/Elements of Specified Type/$$
$icode Base$$.
The routine $cref CheckSimpleVector$$ will generate an error message
if this is not the case.

$head Hessian Uses Forward$$
After each call to $cref Forward$$,
the object $icode f$$ contains the corresponding
$cref/Taylor coefficients/glossary/Taylor Coefficient/$$.
After a call to $code Hessian$$,
the zero order Taylor coefficients correspond to
$icode%f%.Forward(0, %x%)%$$
and the other coefficients are unspecified.

$head Example$$
$children%
    example/general/hessian.cpp%
    example/general/hes_lagrangian.cpp
%$$
The routines
$cref hessian.cpp$$ and
$cref hes_lagrangian.cpp$$
are examples and tests of $code Hessian$$.
They return $code true$$, if they succeed and $code false$$ otherwise.


$end
-----------------------------------------------------------------------------
*/

//  BEGIN CppAD namespace
namespace CppAD {

template <class Base, class RecBase>
template <class Vector>
Vector ADFun<Base,RecBase>::Hessian(const Vector &x, size_t l)
{   size_t i, m = Range();
    CPPAD_ASSERT_KNOWN(
        l < m,
        "Hessian: index i is not less than range dimension for f"
    );

    Vector w(m);
    for(i = 0; i < m; i++)
        w[i] = Base(0.0);
    w[l] = Base(1.0);

    return Hessian(x, w);
}


template <class Base, class RecBase>
template <class Vector>
Vector ADFun<Base,RecBase>::Hessian(const Vector &x, const Vector &w)
{   size_t j;
    size_t k;

    size_t n = Domain();

    // check Vector is Simple Vector class with Base type elements
    CheckSimpleVector<Base, Vector>();

    CPPAD_ASSERT_KNOWN(
        size_t(x.size()) == n,
        "Hessian: length of x not equal domain dimension for f"
    );
    CPPAD_ASSERT_KNOWN(
        size_t(w.size()) == Range(),
        "Hessian: length of w not equal range dimension for f"
    );

    // point at which we are evaluating the Hessian
    Forward(0, x);

    // define the return value
    Vector hes(n * n);

    // direction vector for calls to forward
    Vector u(n);
    for(j = 0; j < n; j++)
        u[j] = Base(0.0);


    // location for return values from Reverse
    Vector ddw(n * 2);

    // loop over forward directions
    for(j = 0; j < n; j++)
    {   // evaluate partials of entire function w.r.t. j-th coordinate
        u[j] = Base(1.0);
        Forward(1, u);
        u[j] = Base(0.0);

        // evaluate derivative of partial corresponding to F_i
        ddw = Reverse(2, w);

        // return desired components
        for(k = 0; k < n; k++)
            hes[k * n + j] = ddw[k * 2 + 1];
    }

    return hes;
}

} // END CppAD namespace

# endif
