Add support for Jacobian-vector products

Author: devmotion

README.md

@@ -19,7 +19,7 @@ NLSolversBase.jl is the core, common dependency of several packages in the [Juli
 The package aims at establishing common ground for [Optim.jl](https://github.com/JuliaNLSolvers/Optim.jl), [LineSearches.jl](https://github.com/JuliaNLSolvers/LineSearches.jl), and [NLsolve.jl](https://github.com/JuliaNLSolvers/NLsolve.jl). The common ground is mainly the types used to hold objective related callables, information about the objectives, and an interface to interact with these types.
 
 ## NDifferentiable
-There are currently three main types: `NonDifferentiable`, `OnceDifferentiable`, and `TwiceDifferentiable`. There's also a more experimental `TwiceDifferentiableHV` for optimization algorithms that use Hessian-vector products. An `NDifferentiable` instance can be used to hold relevant functions for
+There are currently three main types: `NonDifferentiable`, `OnceDifferentiable`, and `TwiceDifferentiable`. An `NDifferentiable` instance can be used to hold relevant functions for
 
  - Optimization: $F : \mathbb{R}^N \to \mathbb{R}$
  - Solving systems of equations: $F : \mathbb{R}^N \to \mathbb{R}^N$

src/NLSolversBase.jl

@@ -9,22 +9,24 @@ export AbstractObjective,
        NonDifferentiable,
        OnceDifferentiable,
        TwiceDifferentiable,
-       TwiceDifferentiableHV,
        value,
        value!,
        value_gradient!,
+       value_gradient_hessian!,
        value_jacobian!,
+       value_jvp!,
        gradient,
        gradient!,
+       gradient_hessian!,
        jacobian,
        jacobian!,
+       jvp!,
        hessian,
        hessian!,
        value!!,
        value_gradient!!,
        value_jacobian!!,
        hessian!!,
-       hv_product,
        hv_product!,
        only_fg!,
        only_fgh!,
@@ -38,6 +40,7 @@ export AbstractObjective,
        clear!,
        f_calls,
        g_calls,
+       jvp_calls,
        h_calls,
        hv_calls
 
@@ -51,12 +54,11 @@ include("objective_types/abstract.jl")
 include("objective_types/nondifferentiable.jl")
 include("objective_types/oncedifferentiable.jl")
 include("objective_types/twicedifferentiable.jl")
-include("objective_types/twicedifferentiablehv.jl")
 include("objective_types/incomplete.jl")
 include("objective_types/constraints.jl")
 include("interface.jl")
 
 NonDifferentiable(f::OnceDifferentiable, x::AbstractArray) = NonDifferentiable(f.f, x, copy(f.F))
 NonDifferentiable(f::TwiceDifferentiable, x::AbstractArray) = NonDifferentiable(f.f, x, copy(f.F))
-NonDifferentiable(f::TwiceDifferentiableHV, x::AbstractArray) = NonDifferentiable(f.f, x, copy(f.F))
+
 end # module