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reverse mode automatic differentiation
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jacobian.hpp
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1 #ifndef STAN_MATH_FWD_MAT_FUNCTOR_JACOBIAN_HPP
2 #define STAN_MATH_FWD_MAT_FUNCTOR_JACOBIAN_HPP
3 
4 #include <stan/math/fwd/core.hpp>
6 #include <vector>
7 
8 namespace stan {
9 
10  namespace math {
11 
12  using Eigen::Dynamic;
13 
14  template <typename T, typename F>
15  void
16  jacobian(const F& f,
17  const Eigen::Matrix<T, Dynamic, 1>& x,
18  Eigen::Matrix<T, Dynamic, 1>& fx,
19  Eigen::Matrix<T, Dynamic, Dynamic>& J) {
20  using Eigen::Matrix;
21  using stan::math::fvar;
22  Matrix<fvar<T>, Dynamic, 1> x_fvar(x.size());
23  for (int i = 0; i < x.size(); ++i) {
24  for (int k = 0; k < x.size(); ++k)
25  x_fvar(k) = fvar<T>(x(k), i == k);
26  Matrix<fvar<T>, Dynamic, 1> fx_fvar
27  = f(x_fvar);
28  if (i == 0) {
29  J.resize(x.size(), fx_fvar.size());
30  fx.resize(fx_fvar.size());
31  for (int k = 0; k < fx_fvar.size(); ++k)
32  fx(k) = fx_fvar(k).val_;
33  }
34  for (int k = 0; k < fx_fvar.size(); ++k) {
35  J(i, k) = fx_fvar(k).d_;
36  }
37  }
38  }
39 
40  } // namespace math
41 } // namespace stan
42 #endif
void jacobian(const F &f, const Eigen::Matrix< T, Dynamic, 1 > &x, Eigen::Matrix< T, Dynamic, 1 > &fx, Eigen::Matrix< T, Dynamic, Dynamic > &J)
Definition: jacobian.hpp:16

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