Awesome, thank you–that’s good enough for my purposes now, I’m just working through this paper and coding parts of it up to make sure I understand it. NB, you’ve got a misplaced end (should be right after the return z).
I’d been trying something similar to your answer, but setting each element of xx to w in-place, then setting it back to its original value before moving to the next element. Which avoids the allocations from vcat, but causes ForwardDiff to choke…I think basically the same issue as here. So it probably can be optimized, but you know what they say about premature optimization!