Merge pull request #3386 from stan-dev/fix/fwd-mode-jacobian

forward-mode jacobian aborts for mappings R^n -> R^m with m != n

Author: WardBrian

stan/math/fwd/functor/jacobian.hpp

@@ -14,14 +14,14 @@ inline void jacobian(const F& f, const Eigen::Matrix<T, Eigen::Dynamic, 1>& x,
   using Eigen::Dynamic;
   using Eigen::Matrix;
   Matrix<fvar<T>, Dynamic, 1> x_fvar(x.size());
-  J.resize(x_fvar.size(), x.size());
-  fx.resize(x_fvar.size());
   for (int k = 0; k < x.size(); ++k) {
     x_fvar(k) = fvar<T>(x(k), 0);
   }
   x_fvar(0) = fvar<T>(x(0), 1);
   Matrix<fvar<T>, Dynamic, 1> fx_fvar = f(x_fvar);
+  // size the outputs from the range of f, which is only known once f is applied
   fx = fx_fvar.val();
+  J.resize(fx_fvar.size(), x.size());
   J.col(0) = fx_fvar.d();
   const fvar<T> switch_fvar(0, 1);  // flips the tangents on and off
   for (int i = 1; i < x.size(); ++i) {

test/unit/math/fwd/functor/jacobian_test.cpp

@@ -0,0 +1,75 @@
+#include <stan/math/fwd.hpp>
+#include <gtest/gtest.h>
+#include <stdexcept>
+
+using Eigen::Dynamic;
+using Eigen::Matrix;
+
+// fun_2_3: R^2 --> R^3 | (x, y) --> [x, (x + y), (x * y)]
+struct fun_2_3 {
+  template <typename T>
+  inline Matrix<T, Dynamic, 1> operator()(
+      const Matrix<T, Dynamic, 1>& x) const {
+    Matrix<T, Dynamic, 1> z(3);
+    z << x(0), x(0) + x(1), x(0) * x(1);
+    return z;
+  }
+};
+
+// fun_3_2: R^3 --> R^2 | (x, y, z) --> [(x * y), (y + 2 * z)]
+struct fun_3_2 {
+  template <typename T>
+  inline Matrix<T, Dynamic, 1> operator()(
+      const Matrix<T, Dynamic, 1>& x) const {
+    Matrix<T, Dynamic, 1> z(2);
+    z << x(0) * x(1), x(1) + 2.0 * x(2);
+    return z;
+  }
+};
+
+TEST(FwdFunctor, jacobianMoreOutputsThanInputs) {
+  fun_2_3 f;
+  Matrix<double, Dynamic, 1> x(2);
+  x << 1.5, 2.0;
+
+  Matrix<double, Dynamic, 1> fx;
+  Matrix<double, Dynamic, Dynamic> J;
+  stan::math::jacobian<double>(f, x, fx, J);
+
+  EXPECT_EQ(3, fx.size());
+  EXPECT_FLOAT_EQ(x(0), fx(0));
+  EXPECT_FLOAT_EQ(x(0) + x(1), fx(1));
+  EXPECT_FLOAT_EQ(x(0) * x(1), fx(2));
+
+  EXPECT_EQ(3, J.rows());
+  EXPECT_EQ(2, J.cols());
+  EXPECT_FLOAT_EQ(1, J(0, 0));
+  EXPECT_FLOAT_EQ(0, J(0, 1));
+  EXPECT_FLOAT_EQ(1, J(1, 0));
+  EXPECT_FLOAT_EQ(1, J(1, 1));
+  EXPECT_FLOAT_EQ(x(1), J(2, 0));
+  EXPECT_FLOAT_EQ(x(0), J(2, 1));
+}
+
+TEST(FwdFunctor, jacobianFewerOutputsThanInputs) {
+  fun_3_2 f;
+  Matrix<double, Dynamic, 1> x(3);
+  x << 1.5, 2.0, -3.0;
+
+  Matrix<double, Dynamic, 1> fx;
+  Matrix<double, Dynamic, Dynamic> J;
+  stan::math::jacobian<double>(f, x, fx, J);
+
+  EXPECT_EQ(2, fx.size());
+  EXPECT_FLOAT_EQ(x(0) * x(1), fx(0));
+  EXPECT_FLOAT_EQ(x(1) + 2.0 * x(2), fx(1));
+
+  EXPECT_EQ(2, J.rows());
+  EXPECT_EQ(3, J.cols());
+  EXPECT_FLOAT_EQ(x(1), J(0, 0));
+  EXPECT_FLOAT_EQ(x(0), J(0, 1));
+  EXPECT_FLOAT_EQ(0, J(0, 2));
+  EXPECT_FLOAT_EQ(0, J(1, 0));
+  EXPECT_FLOAT_EQ(1, J(1, 1));
+  EXPECT_FLOAT_EQ(2, J(1, 2));
+}