I would like to calculate a Hessian matrix of a function f:\mathbb{R}^n \rightarrow \mathbb{R} where n\gg1. In my usecase the Jacobian of f is always needed, and the Hessian may or may not be needed (but this is known before calculation of the Jacobian). Additionally, I only require the Hessian with respect to the first m dimensions, again where n \gg m > 1, this is because the first m input dimensions are parameters, and the latter are data.

I am aware that using diffresults one can recover the Jacobian from a single Hessian calculation, however given the dimensions of my Jacobian I felt that it made more sense to calculate the Jacobian using ReverseDiff and then the Hessian necessary part of the Hessian using ForwardDiff. Given the dimensions of the function I thought it best to first calculate the Jacobian (or indeed gradient) with ReverseDiff, and then use ForwardDiff for Hessian. Furthermore, I wish to use ReverseDiff as I will recompute the Jacobian and Hessian for multiple values of the input, so I can make use of ReverseDiffâ€™s tape compilation.

The following is a minimal example demonstrating the error (without mention to the m-subsetting, although I welcome comments on this aspect in regards to feasibility/performance)

```
using ForwardDiff, ReverseDiff
f(x) = x[1]^2 + x[2]^2
inputs = [1.0, 1.0]
# This returns what one would expect
correct_output = ForwardDiff.jacobian(x -> ReverseDiff.gradient(f, x), inputs)
correct_output == ForwardDiff.hessian(f, inputs)
# This returns the error below
out = zeros(2)
compiled_ftape = ReverseDiff.compile(ReverseDiff.GradientTape(f, rand(2)))
ForwardDiff.jacobian(f_inputs -> ReverseDiff.gradient!(out, compiled_ftape, f_inputs), inputs)
```

Error:

```
MethodError: no method matching Float64(::ForwardDiff.Dual{ForwardDiff.Tag{var"#95#96",Float64},Float64,2})
Closest candidates are:
Float64(::Real, !Matched::RoundingMode) where T<:AbstractFloat at rounding.jl:200
Float64(::T) where T<:Number at boot.jl:716
Float64(!Matched::Float16) at float.jl:256
...
Stacktrace:
[1] convert(::Type{Float64}, ::ForwardDiff.Dual{ForwardDiff.Tag{var"#95#96",Float64},Float64,2}) at .\number.jl:7
[2] setindex!(::Array{Float64,1}, ::ForwardDiff.Dual{ForwardDiff.Tag{var"#95#96",Float64},Float64,2}, ::Int64) at .\array.jl:847
[3] _unsafe_copyto!(::Array{Float64,1}, ::Int64, ::Array{ForwardDiff.Dual{ForwardDiff.Tag{var"#95#96",Float64},Float64,2},1}, ::Int64, ::Int64) at .\array.jl:257
[4] unsafe_copyto! at .\array.jl:311 [inlined]
[5] _copyto_impl! at .\array.jl:335 [inlined]
[6] copyto! at .\array.jl:321 [inlined]
[7] copyto! at .\array.jl:347 [inlined]
[8] value! at C:\Users\jmmsm\.julia\packages\ReverseDiff\NoIPU\src\tracked.jl:156 [inlined]
[9] seeded_forward_pass! at C:\Users\jmmsm\.julia\packages\ReverseDiff\NoIPU\src\api\tape.jl:41 [inlined]
[10] gradient!(::Array{Float64,1}, ::ReverseDiff.CompiledTape{ReverseDiff.GradientTape{typeof(f),ReverseDiff.TrackedArray{Float64,Float64,1,Array{Float64,1},Array{Float64,1}},ReverseDiff.TrackedReal{Float64,Float64,Nothing}}}, ::Array{ForwardDiff.Dual{ForwardDiff.Tag{var"#95#96",Float64},Float64,2},1}) at C:\Users\jmmsm\.julia\packages\ReverseDiff\NoIPU\src\api\gradients.jl:79
[11] (::var"#95#96")(::Array{ForwardDiff.Dual{ForwardDiff.Tag{var"#95#96",Float64},Float64,2},1}) at .\In[82]:1
[12] vector_mode_dual_eval at C:\Users\jmmsm\.julia\packages\ForwardDiff\qTmqf\src\apiutils.jl:37 [inlined]
[13] vector_mode_jacobian(::var"#95#96", ::Array{Float64,1}, ::ForwardDiff.JacobianConfig{ForwardDiff.Tag{var"#95#96",Float64},Float64,2,Array{ForwardDiff.Dual{ForwardDiff.Tag{var"#95#96",Float64},Float64,2},1}}) at C:\Users\jmmsm\.julia\packages\ForwardDiff\qTmqf\src\jacobian.jl:145
[14] jacobian(::Function, ::Array{Float64,1}, ::ForwardDiff.JacobianConfig{ForwardDiff.Tag{var"#95#96",Float64},Float64,2,Array{ForwardDiff.Dual{ForwardDiff.Tag{var"#95#96",Float64},Float64,2},1}}, ::Val{true}) at C:\Users\jmmsm\.julia\packages\ForwardDiff\qTmqf\src\jacobian.jl:21
[15] jacobian(::Function, ::Array{Float64,1}, ::ForwardDiff.JacobianConfig{ForwardDiff.Tag{var"#95#96",Float64},Float64,2,Array{ForwardDiff.Dual{ForwardDiff.Tag{var"#95#96",Float64},Float64,2},1}}) at C:\Users\jmmsm\.julia\packages\ForwardDiff\qTmqf\src\jacobian.jl:19 (repeats 2 times)
[16] top-level scope at In[82]:1
[17] include_string(::Function, ::Module, ::String, ::String) at .\loading.jl:1091
```