Neat autodiff C++ package Enoki

[Bob_Carpenter]

I worked through some of these details in a tutorial autodiff from scratch thread:

A new continuation-based autodiff by refactoring

Part I: Lambda-based Closures Autodiff is where Stan spends 95% of its execution time, so I always devote cycles to figuring out how to make it faster and easier to use. Motivations The underlying theory is really about continuations—the reverse mode pass to apply the chain rule is just a bunch of functions queued up in the forward pass. The current autodiff system does this implicitly, but I hadn’t really thought about it formally until talking to Barak Pearlmutter and @Matthijs For yea…