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<?xml version='1.0'?>
<html xmlns='http://www.w3.org/1999/xhtml'
      xmlns:math='http://www.w3.org/1998/Math/MathML'
>
<head>
<title>Using Multiple Levels of AD</title>
<meta http-equiv='Content-Type' content='text/html' charset='utf-8'/>
<meta name="description" id="description" content="Using Multiple Levels of AD"/>
<meta name="keywords" id="keywords" content=" multiple Ad level using levels of ad background motivation general solution procedure start adbasetape addbasetape inner function calculations derivative outer example "/>
<style type='text/css'>
body { color : black }
body { background-color : white }
A:link { color : blue }
A:visited { color : purple }
A:active { color : purple }
</style>
<script type='text/javascript' language='JavaScript' src='_mul_level_xml.js'>
</script>
</head>
<body>
<table><tr>
<td>
<a href="http://www.coin-or.org/CppAD/" target="_top"><img border="0" src="_image.gif"/></a>
</td>
<td><a href="jac_lu_det.cpp.xml" target="_top">Prev</a>
</td><td><a href="mul_level.cpp.xml" target="_top">Next</a>
</td><td>
<select onchange='choose_across0(this)'>
<option>Index-&gt;</option>
<option>contents</option>
<option>reference</option>
<option>index</option>
<option>search</option>
<option>external</option>
</select>
</td>
<td>
<select onchange='choose_up0(this)'>
<option>Up-&gt;</option>
<option>CppAD</option>
<option>Example</option>
<option>General</option>
<option>mul_level</option>
</select>
</td>
<td>
<select onchange='choose_down3(this)'>
<option>CppAD-&gt;</option>
<option>Install</option>
<option>Introduction</option>
<option>AD</option>
<option>ADFun</option>
<option>preprocessor</option>
<option>multi_thread</option>
<option>library</option>
<option>ipopt_solve</option>
<option>Example</option>
<option>speed</option>
<option>Appendix</option>
</select>
</td>
<td>
<select onchange='choose_down2(this)'>
<option>Example-&gt;</option>
<option>General</option>
<option>ExampleUtility</option>
<option>ListAllExamples</option>
<option>testvector</option>
</select>
</td>
<td>
<select onchange='choose_down1(this)'>
<option>General-&gt;</option>
<option>ad_fun.cpp</option>
<option>ad_in_c.cpp</option>
<option>conj_grad.cpp</option>
<option>cppad_eigen.hpp</option>
<option>hes_minor_det.cpp</option>
<option>hes_lu_det.cpp</option>
<option>interface2c.cpp</option>
<option>jac_minor_det.cpp</option>
<option>jac_lu_det.cpp</option>
<option>mul_level</option>
<option>ode_stiff.cpp</option>
<option>mul_level_ode.cpp</option>
<option>mul_level_adolc_ode.cpp</option>
<option>ode_taylor.cpp</option>
<option>stack_machine.cpp</option>
</select>
</td>
<td>
<select onchange='choose_down0(this)'>
<option>mul_level-&gt;</option>
<option>mul_level.cpp</option>
<option>change_const.cpp</option>
</select>
</td>
<td>
<select onchange='choose_current0(this)'>
<option>Headings-&gt;</option>
<option>Background</option>
<option>Motivation</option>
<option>General Solution</option>
<option>General Procedure</option>
<option>---..Start ADBaseTape</option>
<option>---..Start ADDBaseTape</option>
<option>---..Inner Function Calculations</option>
<option>---..Derivative of Inner Function</option>
<option>---..Outer Function</option>
<option>---..Derivative of Outer Function</option>
<option>Example</option>
</select>
</td>
</tr></table><br/>







<center><b><big><big>Using Multiple Levels of AD</big></big></b></center>
<br/>
<b><big><a name="Background" id="Background">Background</a></big></b>
<br/>
If 
<code><i><font color="black"><span style='white-space: nowrap'>f</span></font></i></code>
 is an 
<code><font color="blue"><span style='white-space: nowrap'>ADFun&lt;</span></font><i><font color="black"><span style='white-space: nowrap'>Base</span></font></i><font color="blue"><span style='white-space: nowrap'>&gt;</span></font></code>
 object,
the vectors returned by 
<a href="forward.xml" target="_top"><span style='white-space: nowrap'>f.Forward</span></a>
,
and
<a href="reverse.xml" target="_top"><span style='white-space: nowrap'>f.Reverse</span></a>
,
have values in the base type (
<code><i><font color="black"><span style='white-space: nowrap'>Base</span></font></i></code>
) and not

<code><font color="blue"><span style='white-space: nowrap'>AD&lt;</span></font><i><font color="black"><span style='white-space: nowrap'>Base</span></font></i><font color="blue"><span style='white-space: nowrap'>&gt;</span></font></code>
.
This reflects the fact that operations used to calculate
these function values are not recorded by the tape corresponding to

<code><font color="blue"><span style='white-space: nowrap'>AD&lt;</span></font><i><font color="black"><span style='white-space: nowrap'>Base</span></font></i><font color="blue"><span style='white-space: nowrap'>&gt;</span></font></code>
 operations. 

<br/>
<br/>
<b><big><a name="Motivation" id="Motivation">Motivation</a></big></b>
<br/>
Suppose that you uses derivatives of one or more inner functions
as part of the operations 
needed to compute an outer function.
For example,
the derivatives returned by 
<code><i><font color="black"><span style='white-space: nowrap'>f</span></font></i><font color="blue"><span style='white-space: nowrap'>.Forward</span></font></code>

might be used as part of 
Taylor's method for solving ordinary
differential equations. 
In addition, we might want to differentiate the
solution of a differential equation with respect to parameters
in the equation.
This can be accomplished in the following way:

<ol type="1"><li>
The operations during the calculations of the function defining the
differential equation could be preformed using the a class of the form

<code><font color="blue"><span style='white-space: nowrap'>&#xA0;AD&lt;&#xA0;AD&lt;double&gt;&#xA0;&gt;</span></font></code>
. 

</li><li>

The operations during the calculation of Taylor's method
could be preformed using the 
<code><font color="blue"><span style='white-space: nowrap'>&#xA0;AD&lt;double&gt;</span></font></code>
 class.

</li><li>

The results of the solution of the differential equation
could then be preformed using the <code><font color="blue">double</font></code> class.

</li></ol>


<br/>
<br/>
<b><big><a name="General Solution" id="General Solution">General Solution</a></big></b>
<br/>
Provided that we are currently recording

<code><font color="blue"><span style='white-space: nowrap'>&#xA0;AD&lt;double&gt;</span></font></code>
 operations,
and 
<code><i><font color="black"><span style='white-space: nowrap'>fin</span></font></i></code>
 is an 
<code><font color="blue"><span style='white-space: nowrap'>ADFun&lt;&#xA0;AD&lt;double&gt;&#xA0;&gt;</span></font></code>
 object,
the operations used to compute the vectors
returned by 

<code><i><font color="black"><span style='white-space: nowrap'>fin</span></font></i><font color="blue"><span style='white-space: nowrap'>.Forward</span></font></code>
,

<code><i><font color="black"><span style='white-space: nowrap'>fin</span></font></i><font color="blue"><span style='white-space: nowrap'>.Rev</span></font></code>
,
and

<code><i><font color="black"><span style='white-space: nowrap'>fin</span></font></i><font color="blue"><span style='white-space: nowrap'>.RevTwo</span></font></code>
,
will be recorded on the tape corresponding to

<code><font color="blue"><span style='white-space: nowrap'>AD&lt;double&gt;</span></font></code>
 operations. 


<br/>
<br/>
<b><big><a name="General Procedure" id="General Procedure">General Procedure</a></big></b>


<br/>
<br/>
<b><a name="General Procedure.Start ADBaseTape" id="General Procedure.Start ADBaseTape">Start ADBaseTape</a></b>
<br/>
The first step is to declare the independent variables using

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;Independent(</span></font><i><font color="black"><span style='white-space: nowrap'>x</span></font></i><font color="blue"><span style='white-space: nowrap'>)<br/>
</span></font></code>
where 
<code><i><font color="black"><span style='white-space: nowrap'>x</span></font></i></code>
 is 
a <a href="simplevector.xml" target="_top"><span style='white-space: nowrap'>SimpleVector</span></a>
 with elements of type 
<code><font color="blue"><span style='white-space: nowrap'>AD&lt;double&gt;</span></font></code>
.
This will start recording a new tape of
operations performed using 
<code><font color="blue"><span style='white-space: nowrap'>AD&lt;double&gt;</span></font></code>
 class objects.

<br/>
<br/>
<b><a name="General Procedure.Start ADDBaseTape" id="General Procedure.Start ADDBaseTape">Start ADDBaseTape</a></b>
<br/>
The next step is to declare the independent variables using 

<code><font color="blue"><span style='white-space: nowrap'><br/>
&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;Independent(</span></font><i><font color="black"><span style='white-space: nowrap'>X</span></font></i><font color="blue"><span style='white-space: nowrap'>)<br/>
</span></font></code>
where 
<code><i><font color="black"><span style='white-space: nowrap'>X</span></font></i></code>
 is 
a <a href="simplevector.xml" target="_top"><span style='white-space: nowrap'>SimpleVector</span></a>
 with elements of type 

<code><font color="blue"><span style='white-space: nowrap'>AD&lt;&#xA0;AD&lt;double&gt;)&#xA0;&gt;</span></font></code>
.
This will start recording a new tape of 
operations performed using 
<code><font color="blue"><span style='white-space: nowrap'>AD&lt;&#xA0;AD&lt;double&gt;&#xA0;&gt;</span></font></code>
 class objects.

<br/>
<br/>
<b><a name="General Procedure.Inner Function Calculations" id="General Procedure.Inner Function Calculations">Inner Function Calculations</a></b>
<br/>
The next step is to calculation
the inner functions 
using 
<code><font color="blue"><span style='white-space: nowrap'>AD&lt;&#xA0;AD&lt;double&gt;&#xA0;&gt;</span></font></code>
 class objects.

<br/>
<br/>
<b><a name="General Procedure.Derivative of Inner Function" id="General Procedure.Derivative of Inner Function">Derivative of Inner Function</a></b>
<br/>
The next step is to create the 

<code><font color="blue"><span style='white-space: nowrap'>ADFun&lt;&#xA0;AD&lt;double&gt;&#xA0;&gt;</span></font></code>
 function object 
<code><i><font color="black"><span style='white-space: nowrap'>fin</span></font></i></code>
.
This will also stop recording of
operations performed using 
<code><font color="blue"><span style='white-space: nowrap'>AD&lt;&#xA0;AD&lt;double&gt;&#xA0;&gt;</span></font></code>
 class objects.
The 
<code><i><font color="black"><span style='white-space: nowrap'>fin</span></font></i></code>
 object can then be used to calculate
the derivatives needed to compute the outer function.

<br/>
<br/>
<b><a name="General Procedure.Outer Function" id="General Procedure.Outer Function">Outer Function</a></b>
<br/>
The next step is to compute the 
outer function
using 
<code><font color="blue"><span style='white-space: nowrap'>AD&lt;double&gt;</span></font></code>
 class objects.

<br/>
<br/>
<b><a name="General Procedure.Derivative of Outer Function" id="General Procedure.Derivative of Outer Function">Derivative of Outer Function</a></b>
<br/>
The next step is to create the 

<code><font color="blue"><span style='white-space: nowrap'>ADFun&lt;double&gt;</span></font></code>
 function object 
<code><i><font color="black"><span style='white-space: nowrap'>fout</span></font></i></code>
.
This will also stop the recording of
operations performed using 
<code><font color="blue"><span style='white-space: nowrap'>AD&lt;double&gt;</span></font></code>
 class objects.
The 
<code><i><font color="black"><span style='white-space: nowrap'>fout</span></font></i></code>
 object can then be used to calculate
the derivatives of the outer function.




<br/>
<br/>
<b><big><a name="Example" id="Example">Example</a></big></b>
<br/>
The files
<a href="mul_level.cpp.xml" target="_top"><span style='white-space: nowrap'>mul_level.cpp</span></a>
 and <a href="change_const.cpp.xml" target="_top"><span style='white-space: nowrap'>change_const.cpp</span></a>

contain an examples and tests of this procedure.   
They return true if they succeed and false otherwise.
The file <a href="mul_level_ode.cpp.xml" target="_top"><span style='white-space: nowrap'>mul_level_ode.cpp</span></a>
 is a more complex example
use of multiple tapes.


<hr/>Input File: omh/mul_level.omh

</body>
</html>