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gradient.hpp
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1 #ifndef STAN_MATH_REV_MAT_FUNCTOR_GRADIENT_HPP
2 #define STAN_MATH_REV_MAT_FUNCTOR_GRADIENT_HPP
3
4 #include <stan/math/prim/mat/fun/Eigen.hpp>
5 #include <stan/math/rev/core.hpp>
6
7 namespace stan {
8
9 namespace math {
10
11 using Eigen::Dynamic;
12
42 template <typename F>
43 void
44 gradient(const F& f,
45 const Eigen::Matrix<double, Dynamic, 1>& x,
46 double& fx,
47 Eigen::Matrix<double, Dynamic, 1>& grad_fx) {
48 using stan::math::var;
49 start_nested();
50 try {
51 Eigen::Matrix<var, Dynamic, 1> x_var(x.size());
52 for (int i = 0; i < x.size(); ++i)
53 x_var(i) = x(i);
54 var fx_var = f(x_var);
55 fx = fx_var.val();
56 grad_fx.resize(x.size());
57 stan::math::grad(fx_var.vi_);
58 for (int i = 0; i < x.size(); ++i)
59 grad_fx(i) = x_var(i).adj();
60 } catch (const std::exception& /*e*/) {
61 stan::math::recover_memory_nested();
62 throw;
63 }
64 stan::math::recover_memory_nested();
65 }
66 } // namespace math
67 } // namespace stan
68 #endif
core.hpp
stan::math::grad
static void grad(chainable *vi)
Compute the gradient for all variables starting from the specified root variable implementation.
Definition: grad.hpp:30
stan::math::var
Independent (input) and dependent (output) variables for gradients.
Definition: var.hpp:32
stan::math::var::vi_
vari * vi_
Pointer to the implementation of this variable.
Definition: var.hpp:44
Eigen.hpp
stan::math::recover_memory_nested
static void recover_memory_nested()
Recover only the memory used for the top nested call.
Definition: recover_memory_nested.hpp:21
stan::math::var::val
double val() const
Return the value of this variable.
Definition: var.hpp:234
stan::math::gradient
void gradient(const F &f, const Eigen::Matrix< T, Dynamic, 1 > &x, T &fx, Eigen::Matrix< T, Dynamic, 1 > &grad_fx)
Calculate the value and the gradient of the specified function at the specified argument.
Definition: gradient.hpp:44
stan::math::start_nested
static void start_nested()
Record the current position so that recover_memory_nested() can find it.
Definition: start_nested.hpp:13

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