Thanks, @bgoodri. I’ll check it out. I hadn’t seen matrixcalculus.org—that looks super cool. It’d be great if we could work out the derivatives for our transforms and code those more efficiently.
I read the section of Dougal Maclaurin’s Ph.D. thesis on Autograd, which was interesting. They went with immutable matrices. I think we might be able to go down that route with Stan if we allow them to be built from something like a real(int, int) function and a pair of sizes (int, int).
@anon75146577: No expression graph yet. Just a lot of adjoint and tangent math. And a C++ reference implementation. I was hoping I could convince @charlesm93 to write the diff eq chapter.