Issues including stan math autodiff functions in R package

[Bob_Carpenter]

This discussion has moved here:

Issue getting Hessian with stan math

Hey all, I’m having trouble getting a hang of the autodiff capabilities of stan math. I’m attempting to derive the gradient and the Hessian of the function f(L) = Tr(LL^{T}A), where A is a known matrix and L is a lower triangular matrix. I’m using the log-cholesky parameterization here for convenience because ultimately I would like to solve an optimization problem (that is much more complex than this) with a unique solution. Below is my code to compute the gradient: // [[Rcpp::export]] Eige…