finite_diff_gradient_auto.hpp

Go to the documentation of this file.

#ifndef STAN_MATH_PRIM_FUNCTOR_FINITE_DIFF_GRADIENT_AUTO_HPP
#define STAN_MATH_PRIM_FUNCTOR_FINITE_DIFF_GRADIENT_AUTO_HPP
 
#include <stan/math/prim/fun/Eigen.hpp>
#include <stan/math/prim/fun/finite_diff_stepsize.hpp>
#include <cmath>
 
namespace stan {
namespace math {
 
template <typename F, typename VectorT,
          typename ScalarT = return_type_t<VectorT>>
void finite_diff_gradient_auto(const F& f, const VectorT& x, ScalarT& fx,
                               VectorT& grad_fx) {
  VectorT x_temp(x);
  fx = f(x);
  grad_fx.resize(x.size());
  for (int i = 0; i < x.size(); ++i) {
    double h = finite_diff_stepsize(value_of_rec(x[i]));
 
    ScalarT delta_f = 0;
 
    x_temp[i] = x[i] + 3 * h;
    delta_f += f(x_temp);
 
    x_temp[i] = x[i] + 2 * h;
    delta_f -= 9 * f(x_temp);
 
    x_temp[i] = x[i] + h;
    delta_f += 45 * f(x_temp);
 
    x_temp[i] = x[i] + -3 * h;
    delta_f -= f(x_temp);
 
    x_temp[i] = x[i] + -2 * h;
    delta_f += 9 * f(x_temp);
 
    x_temp[i] = x[i] - h;
    delta_f -= 45 * f(x_temp);
 
    delta_f /= 60 * h;
 
    x_temp[i] = x[i];
    grad_fx[i] = delta_f;
  }
}
 
}  // namespace math
}  // namespace stan
#endif