hessian.hpp

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#ifndef STAN_MATH_FWD_FUNCTOR_HESSIAN_HPP
#define STAN_MATH_FWD_FUNCTOR_HESSIAN_HPP
 
#include <stan/math/fwd/core.hpp>
#include <stan/math/prim/fun/Eigen.hpp>
 
namespace stan {
namespace math {
 
template <typename T, typename F>
void hessian(const F& f, const Eigen::Matrix<T, Eigen::Dynamic, 1>& x, T& fx,
             Eigen::Matrix<T, Eigen::Dynamic, 1>& grad,
             Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>& H) {
  H.resize(x.size(), x.size());
  grad.resize(x.size());
  // size 0 separate because nothing to loop over in main body
  if (x.size() == 0) {
    fx = f(x);
    return;
  }
  Eigen::Matrix<fvar<fvar<T> >, Eigen::Dynamic, 1> x_fvar(x.size());
  for (int i = 0; i < x.size(); ++i) {
    for (int j = i; j < x.size(); ++j) {
      for (int k = 0; k < x.size(); ++k) {
        x_fvar(k) = fvar<fvar<T> >(fvar<T>(x(k), j == k), fvar<T>(i == k, 0));
      }
      fvar<fvar<T> > fx_fvar = f(x_fvar);
      if (j == 0) {
        fx = fx_fvar.val_.val_;
      }
      if (i == j) {
        grad(i) = fx_fvar.d_.val_;
      }
      H(i, j) = fx_fvar.d_.d_;
      H(j, i) = H(i, j);
    }
  }
}
 
}  // namespace math
}  // namespace stan
#endif