ode_adjoint.hpp

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#ifndef STAN_MATH_REV_FUNCTOR_ODE_ADJOINT_HPP
#define STAN_MATH_REV_FUNCTOR_ODE_ADJOINT_HPP
 
#include <stan/math/rev/meta.hpp>
#include <stan/math/prim/fun/eval.hpp>
#include <stan/math/rev/functor/cvodes_integrator_adjoint.hpp>
#include <ostream>
#include <vector>
 
namespace stan {
namespace math {
 
template <typename F, typename T_y0, typename T_t0, typename T_ts,
          typename T_abs_tol_fwd, typename T_abs_tol_bwd, typename... T_Args,
          require_all_eigen_col_vector_t<T_y0, T_abs_tol_fwd,
                                         T_abs_tol_bwd>* = nullptr,
          require_any_not_st_arithmetic<T_y0, T_t0, T_ts, T_Args...>* = nullptr>
auto ode_adjoint_impl(
    const char* function_name, F&& f, const T_y0& y0, const T_t0& t0,
    const std::vector<T_ts>& ts, double relative_tolerance_forward,
    const T_abs_tol_fwd& absolute_tolerance_forward,
    double relative_tolerance_backward,
    const T_abs_tol_bwd& absolute_tolerance_backward,
    double relative_tolerance_quadrature, double absolute_tolerance_quadrature,
    long int max_num_steps,                  // NOLINT(runtime/int)
    long int num_steps_between_checkpoints,  // NOLINT(runtime/int)
    int interpolation_polynomial, int solver_forward, int solver_backward,
    std::ostream* msgs, const T_Args&... args) {
  using integrator_vari
      = cvodes_integrator_adjoint_vari<F, plain_type_t<T_y0>, T_t0, T_ts,
                                       plain_type_t<T_Args>...>;
  auto integrator = new integrator_vari(
      function_name, std::forward<F>(f), eval(y0), t0, ts,
      relative_tolerance_forward, absolute_tolerance_forward,
      relative_tolerance_backward, absolute_tolerance_backward,
      relative_tolerance_quadrature, absolute_tolerance_quadrature,
      max_num_steps, num_steps_between_checkpoints, interpolation_polynomial,
      solver_forward, solver_backward, msgs, eval(args)...);
  return integrator->solution();
}
 
template <typename F, typename T_y0, typename T_t0, typename T_ts,
          typename T_abs_tol_fwd, typename T_abs_tol_bwd, typename... T_Args,
          require_all_eigen_col_vector_t<T_y0, T_abs_tol_fwd,
                                         T_abs_tol_bwd>* = nullptr,
          require_all_st_arithmetic<T_y0, T_t0, T_ts, T_Args...>* = nullptr>
std::vector<Eigen::VectorXd> ode_adjoint_impl(
    const char* function_name, F&& f, const T_y0& y0, const T_t0& t0,
    const std::vector<T_ts>& ts, double relative_tolerance_forward,
    const T_abs_tol_fwd& absolute_tolerance_forward,
    double relative_tolerance_backward,
    const T_abs_tol_bwd& absolute_tolerance_backward,
    double relative_tolerance_quadrature, double absolute_tolerance_quadrature,
    long int max_num_steps,                  // NOLINT(runtime/int)
    long int num_steps_between_checkpoints,  // NOLINT(runtime/int)
    int interpolation_polynomial, int solver_forward, int solver_backward,
    std::ostream* msgs, const T_Args&... args) {
  std::vector<Eigen::VectorXd> ode_solution;
  {
    nested_rev_autodiff nested;
 
    using integrator_vari
        = cvodes_integrator_adjoint_vari<F, plain_type_t<T_y0>, T_t0, T_ts,
                                         plain_type_t<T_Args>...>;
 
    auto integrator = new integrator_vari(
        function_name, std::forward<F>(f), eval(y0), t0, ts,
        relative_tolerance_forward, absolute_tolerance_forward,
        relative_tolerance_backward, absolute_tolerance_backward,
        relative_tolerance_quadrature, absolute_tolerance_quadrature,
        max_num_steps, num_steps_between_checkpoints, interpolation_polynomial,
        solver_forward, solver_backward, msgs, eval(args)...);
 
    ode_solution = integrator->solution();
  }
  return ode_solution;
}
 
template <typename F, typename T_y0, typename T_t0, typename T_ts,
          typename T_abs_tol_fwd, typename T_abs_tol_bwd, typename... T_Args,
          require_all_eigen_col_vector_t<T_y0, T_abs_tol_fwd,
                                         T_abs_tol_bwd>* = nullptr>
auto ode_adjoint_tol_ctl(
    F&& f, const T_y0& y0, const T_t0& t0, const std::vector<T_ts>& ts,
    double relative_tolerance_forward,
    const T_abs_tol_fwd& absolute_tolerance_forward,
    double relative_tolerance_backward,
    const T_abs_tol_bwd& absolute_tolerance_backward,
    double relative_tolerance_quadrature, double absolute_tolerance_quadrature,
    long int max_num_steps,                  // NOLINT(runtime/int)
    long int num_steps_between_checkpoints,  // NOLINT(runtime/int)
    int interpolation_polynomial, int solver_forward, int solver_backward,
    std::ostream* msgs, const T_Args&... args) {
  return ode_adjoint_impl(
      "ode_adjoint_tol_ctl", std::forward<F>(f), y0, t0, ts,
      relative_tolerance_forward, absolute_tolerance_forward,
      relative_tolerance_backward, absolute_tolerance_backward,
      relative_tolerance_quadrature, absolute_tolerance_quadrature,
      max_num_steps, num_steps_between_checkpoints, interpolation_polynomial,
      solver_forward, solver_backward, msgs, args...);
}
 
}  // namespace math
}  // namespace stan
#endif