1 #ifndef STAN_MATH_PRIM_MAT_FUNCTOR_FINITE_DIFF_GRADIENT_HPP 2 #define STAN_MATH_PRIM_MAT_FUNCTOR_FINITE_DIFF_GRADIENT_HPP 39 const Eigen::Matrix<double, -1, 1>& x,
41 Eigen::Matrix<double, -1, 1>& grad_fx,
42 double epsilon = 1
e-03) {
45 Matrix<double, Dynamic, 1> x_temp(x);
52 for (
int i = 0; i < d; ++i) {
55 x_temp(i) = x(i) + 3.0 * epsilon;
58 x_temp(i) = x(i) + 2.0 * epsilon;
59 delta_f -= 9.0 * f(x_temp);
61 x_temp(i) = x(i) + epsilon;
62 delta_f += 45.0 * f(x_temp);
64 x_temp(i) = x(i) + -3.0 * epsilon;
67 x_temp(i) = x(i) + -2.0 * epsilon;
68 delta_f += 9.0 * f(x_temp);
70 x_temp(i) = x(i) + -epsilon;
71 delta_f -= 45.0 * f(x_temp);
73 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, double epsilon=1e-03)
Calculate the value and the gradient of the specified function at the specified argument using finite...