calculate_Lipschitz_const.m

function [Lip_H,model] = calculate_Lipschitz_const(model, varargin)
%function Lip_H = calculate_Lipschit_const(model, varargin)
%
% function caluclates the Lipschitz constant using detailed simulations, which is needed for the
% non-iterative error estimator in optimization.
%
% Optional inputs:
% model_data
% mu
%

% Markus Dihlmann 03.01.2013

compute_derivative_info_old = model.compute_derivative_info;

%see if there's model_data
if nargin>=2
    model_data = varargin{1};
    if isempty(model_data)
        model_data = gen_model_data(model);
    end
else
    model_data = gen_model_data(model);
end

%see if there's a mu given
if nargin>2
    mu = varargin{2};
    if ~isempty(mu)
        model = set_mu(model, mu);
    end
end

%claculate the Hessian
disp('performing detailed simulations to calculate the Lipschitz constant')
H_der = lin_evol_opt_fd_Hessian_der(model, model_data,[]);

model = setfield_in_model_and_base_model(model,'compute_derivative_info', 0);
HgradJ = zeros(size(H_der));
for k=1:size(H_der,1)
    for l=1:size(H_der,2)
        sim_data_dummy.U = H_der{k,l};
        sim_data_dummy = model.get_output(model, sim_data_dummy,model_data);
        HgradJ(k,l) = sim_data_dummy.y(end);
    end
end

%reset model
model = setfield_in_model_and_base_model(model,'compute_derivative_info', compute_derivative_info_old);

%return Lipschitz constant
Lip_H = norm(HgradJ);