hessian_block_diag()

template<typename F , typename... Args>

Eigen::SparseMatrix< double > stan::math::hessian_block_diag ( F &&  f, const Eigen::VectorXd &  x, const Eigen::Index  hessian_block_size, Args &&...  args  )

inline

Returns a block diagonal Hessian by computing the relevant directional derivatives and storing them in a matrix.

For m the size of each block, the operations const m calls to hessian_times_vector, that is m forward sweeps and m reverse sweeps.

Template Parameters

F	Type of function to differentiate.
Eta	Type of additional arguments passed to F.
Args	Type of variadic arguments passed to F.

Parameters

f	Function to differentiate.
x	Arguments with respect to which we differentiate.
eta	Additional arguments for f.
hessian_block_size
args	Additional variadic arguments for f.

Definition at line 25 of file hessian_block_diag.hpp.