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We are implementing a Hessian-vector product for BridgeStan (roualdes/bridgestan#126) and would like to be able to evaluate with central finite differences for cases where forward-mode is not defined (mainly implicit functions like the ode solvers).
There is also a scheme for setting relative perturbations that @justindomke mentioned in the issue above that we should try. Code sketches and reference links are in the above-referenced BridgeStan issue.
Expected Output
This should be a functor defined parallel to where Hessians are defined via finite differences.
Current Version:
v4.6.2
The text was updated successfully, but these errors were encountered:
Description
We are implementing a Hessian-vector product for BridgeStan (roualdes/bridgestan#126) and would like to be able to evaluate with central finite differences for cases where forward-mode is not defined (mainly implicit functions like the ode solvers).
There is also a scheme for setting relative perturbations that @justindomke mentioned in the issue above that we should try. Code sketches and reference links are in the above-referenced BridgeStan issue.
Expected Output
This should be a functor defined parallel to where Hessians are defined via finite differences.
Current Version:
v4.6.2
The text was updated successfully, but these errors were encountered: