Automatic differentiation support

[papachristoumarios]

It would be a very nice feature to include automatic differentiation support within the functors, so that the gradients can be computed from the automatic differentiation software.

Automatic differentiation references and libraries:

1. https://mc-stan.org/users/interfaces/math.html
2. https://github.com/autodiff/autodiff
3. https://www.boost.org/doc/libs/master/libs/math/doc/html/math_toolkit/autodiff.html

[vissarion]

Cool idea!

We have to check the possibilities. From your list above (3) is the simpler to use since volesti depends on boost already.

So the question is: is boost's autodiff functionality sufficient for volesti needs? What are the features needed?

Here is a discussion comparing autodiff in stan and boost https://discourse.mc-stan.org/t/autodiff-in-boost/7440/11