1 #ifndef STAN_MATH_PRIM_MAT_FUNCTOR_FINITE_DIFF_GRADIENT_HPP
2 #define STAN_MATH_PRIM_MAT_FUNCTOR_FINITE_DIFF_GRADIENT_HPP
40 const Eigen::Matrix<double, -1, 1>& x,
42 Eigen::Matrix<double, -1, 1>& grad_fx,
43 const double epsilon = 1
e-03) {
46 Matrix<double, Dynamic, 1> x_temp(x);
53 for (
int i = 0; i < d; ++i) {
56 x_temp(i) = x(i) + 3.0 * epsilon;
59 x_temp(i) = x(i) + 2.0 * epsilon;
60 delta_f -= 9.0 * f(x_temp);
62 x_temp(i) = x(i) + epsilon;
63 delta_f += 45.0 * f(x_temp);
65 x_temp(i) = x(i) + -3.0 * epsilon;
68 x_temp(i) = x(i) + -2.0 * epsilon;
69 delta_f += 9.0 * f(x_temp);
71 x_temp(i) = x(i) + -epsilon;
72 delta_f -= 45.0 * f(x_temp);
74 delta_f /= 60 * epsilon;
double e()
Return the base of the natural logarithm.
void finite_diff_gradient(const F &f, const Eigen::Matrix< double,-1, 1 > &x, double &fx, Eigen::Matrix< double,-1, 1 > &grad_fx, const double epsilon=1e-03)
Calculate the value and the gradient of the specified function at the specified argument using finite...