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In addition to igamma(a, x), this code implements: * igamma_der_a(a, x) = d igamma(a, x) / da -- derivative of igamma with respect to the parameter * gamma_sample_der_alpha(alpha, sample) -- reparameterization derivative of a Gamma(alpha, 1) random variable sample with respect to the alpha parameter The derivatives are computed by forward mode differentiation of the igamma(a, x) code. Although gamma_sample_der_alpha can be implemented via igamma_der_a, a separate function is more accurate and efficient due to analytical cancellation of some terms. All three functions are implemented by a method parameterized with "mode" that always computes the derivatives, but does not return them unless required by the mode. The compiler is expected to (and, based on benchmarks, does) skip the unnecessary computations depending on the mode.
This directory contains contributions from various users. They are provided "as is", without any support. Nevertheless, most of them are subject to be included in Eigen in the future. In order to use an unsupported module you have to do either: - add the path_to_eigen/unsupported directory to your include path and do: #include <Eigen/ModuleHeader> - or directly do: #include <unsupported/Eigen/ModuleHeader> If you are interested in contributing to one of them, or have other stuff you would like to share, feel free to contact us: http://eigen.tuxfamily.org/index.php?title=Main_Page#Mailing_list Any kind of contributions are much appreciated, even very preliminary ones. However, it: - must rely on Eigen, - must be highly related to math, - should have some general purpose in the sense that it could potentially become an offical Eigen module (or be merged into another one). In doubt feel free to contact us. For instance, if your addons is very too specific but it shows an interesting way of using Eigen, then it could be a nice demo. This directory is organized as follow: unsupported/Eigen/ModuleHeader1 unsupported/Eigen/ModuleHeader2 unsupported/Eigen/... unsupported/Eigen/src/Module1/SourceFile1.h unsupported/Eigen/src/Module1/SourceFile2.h unsupported/Eigen/src/Module1/... unsupported/Eigen/src/Module2/SourceFile1.h unsupported/Eigen/src/Module2/SourceFile2.h unsupported/Eigen/src/Module2/... unsupported/Eigen/src/... unsupported/doc/snippets/.cpp <- code snippets for the doc unsupported/doc/examples/.cpp <- examples for the doc unsupported/doc/TutorialModule1.dox unsupported/doc/TutorialModule2.dox unsupported/doc/... unsupported/test/.cpp <- unit test files The documentation is generated at the same time than the main Eigen documentation. The .html files are generated in: build_dir/doc/html/unsupported/