Modifies ForwardDiff to allow parameters in function definition

ForwardDiffArgs.jl

using ForwardDiff

import ForwardDiff: Dual, epsilon



function my_dual_fad{T<:Real}(f!::Function, x::Vector{T}, jac_out::Matrix{T}, dual_in, dual_out, args...)
  for i in 1:length(x)
    dual_in[i] = Dual(x[i], zero(T))
  end
  for i in 1:length(x)
    dual_in[i] = Dual(x[i], one(T))
    f!(dual_in, dual_out, args...)
    for k in 1:length(dual_out)
      jac_out[k, i] = epsilon(dual_out[k])
    end
    dual_in[i] = Dual(real(dual_in[i]), zero(T))
  end
end

function my_dual_fad_jacobian!{T<:Real}(f!::Function, ::Type{T}; n::Int=1, m::Int=1)
  dual_in = Array(Dual{T}, n)
  dual_out = Array(Dual{T}, m)
  g!(x, jac_out, args...) = my_dual_fad(f!, x, jac_out, dual_in, dual_out, args...)
  return g!
end

function my_dual_fad_jacobian{T<:Real}(f!::Function, ::Type{T}; n::Int=1, m::Int=1)
  dual_in = Array(Dual{T}, n)
  dual_out = Array(Dual{T}, m)
  jac_out = Array(T, m, n)
  function g(x, args...)
    my_dual_fad(f!, x, jac_out, dual_in, dual_out, args...)
    jac_out
  end
  return g
end



function f!(x, y, z)
  y[1] = z[1]*(x[1]^2+x[2])
  y[2] = z[1]*(3*x[1])
  y[3] = z[1]*(x[1]^2*x[2]^3)
end

j = my_dual_fad_jacobian(f!, Float64, n = 2, m = 3)
j([2.1, 1.5], [0.1])


j! = my_dual_fad_jacobian!(f!, Float64, n = 2, m = 3)
y = zeros(3,2)
j!([2.1, 1.5], y, [0.1])


function f!(x, y, z)
  y[1] = (x[1]^2+x[2])
  y[2] = (3*x[1])
  y[3] = (x[1]^2*x[2]^3)
end





function f!(x, y)
  y[1] = x[1]^2+x[2]
  y[2] = 3*x[1]
  y[3] = x[1]^2*x[2]^3
end


j = my_dual_fad_jacobian(f!, Float64, n = 2, m = 3)
j([2.1, 1.5])