stan-dev/math

The Stan Math Library is a C++ template library for automatic differentiation of any order using forward, reverse, and mixed modes. It includes a range of built-in functions for probabilistic modeling, linear algebra, and equation solving.

What it solves

It provides a high-performance C++ library for reverse-mode automatic differentiation, allowing developers to build algorithms that require precise derivatives without having to manually derive or calculate them.

How it works

The library implements reverse-mode automatic differentiation, a technique used to compute gradients of complex mathematical functions efficiently, which is the library's core functionality.

Who it’s for

It is designed for developers and researchers who need to construct and utilize algorithms that rely on derivatives, particularly those working in C++.

Highlights

  • High-performance C++ implementation
  • Designed for scalability, stability, and portability
  • Extensive and extensible architecture
  • Redistributable under the new BSD license

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