integrate_1d_gauss_kronrod.hpp

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#ifndef STAN_MATH_FWD_FUNCTOR_INTEGRATE_1D_GAUSS_KRONROD_HPP
#define STAN_MATH_FWD_FUNCTOR_INTEGRATE_1D_GAUSS_KRONROD_HPP
 
#include <stan/math/fwd/meta.hpp>
#include <stan/math/prim/functor/integrate_1d_gauss_kronrod.hpp>
#include <stan/math/prim/fun/value_of.hpp>
#include <stan/math/prim/meta/forward_as.hpp>
#include <stan/math/prim/functor/apply.hpp>
#include <stan/math/fwd/functor/finite_diff.hpp>
 
namespace stan {
namespace math {
 
template <typename F, typename T_a, typename T_b, typename... Args,
          require_any_st_fvar<T_a, T_b, Args...> * = nullptr>
inline return_type_t<T_a, T_b, Args...> integrate_1d_gauss_kronrod_tol(
    const F &f, const T_a &a, const T_b &b, double relative_tolerance,
    double absolute_tolerance, int max_depth, std::ostream *msgs,
    const Args &... args) {
  using FvarT = scalar_type_t<return_type_t<T_a, T_b, Args...>>;
 
  // Wrap integrate_1d_gauss_kronrod call in a functor where the input
  // arguments are only those for which tangents are needed.
  auto a_val = value_of(a);
  auto b_val = value_of(b);
  auto func = [f, msgs, relative_tolerance, absolute_tolerance, max_depth,
               a_val, b_val](const auto &... args_var) {
    return integrate_1d_gauss_kronrod_tol(f, a_val, b_val, relative_tolerance,
                                          absolute_tolerance, max_depth, msgs,
                                          args_var...);
  };
  FvarT ret = finite_diff(func, args...);
  // Calculate tangents w.r.t. integration bounds if needed
  if constexpr (is_fvar<T_a>::value || is_fvar<T_b>::value) {
    if constexpr (is_fvar<T_a>::value) {
      ret.d_ += a.d_ * -f(a_val, 0.0, msgs, value_of(args)...);
    }
    if constexpr (is_fvar<T_b>::value) {
      ret.d_ += b.d_ * f(b_val, 0.0, msgs, value_of(args)...);
    }
  }
  return ret;
}
 
template <typename F, typename T_a, typename T_b, typename... Args,
          require_any_st_fvar<T_a, T_b, Args...> * = nullptr>
inline return_type_t<T_a, T_b, Args...> integrate_1d_gauss_kronrod(
    const F &f, const T_a &a, const T_b &b, std::ostream *msgs,
    const Args &... args) {
  return integrate_1d_gauss_kronrod_tol(f, a, b, std::sqrt(EPSILON), 0.0,
                                        INTEGRATE_1D_GAUSS_KRONROD_MAX_DEPTH,
                                        msgs, args...);
}
 
}  // namespace math
}  // namespace stan
#endif