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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.
https://mc-stan.org
BSD 3-Clause "New" or "Revised" License
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automatic-differentiation boost cpp eigen math stan stan-math-library sundials

readme

The Stan Math Library is a C++, reverse-mode automatic differentiation library designed to be usable, extensive and extensible, efficient, scalable, stable, portable, and redistributable in order to facilitate the construction and utilization of algorithms that utilize derivatives.

Documentation, Installation, and Examples

All of Stan math's documentation is hosted on our website below. Please do not reference articles in the wiki as they are outdated and not maintained.

mc-stan.org/math

Licensing

The Stan Math Library is licensed under the new BSD license.

The Stan Math Library depends on the Intel TBB library which is licensed under the Apache 2.0 license. This dependency implies an additional restriction as compared to the new BSD license alone. The Apache 2.0 license is incompatible with GPL-2 licensed code if distributed as a unitary binary. You may refer to the Licensing page on the Stan wiki.