Document and export gradlogpdf. (#1974)

* Document and export gradlogpdf.

Fixes #1844.

* Update src/Distributions.jl

Co-authored-by: David Widmann <devmotion@users.noreply.github.com>

---------

Co-authored-by: David Widmann <devmotion@users.noreply.github.com>

Author: tpapp

docs/src/univariate.md

@@ -72,6 +72,7 @@ pdfsquaredL2norm
 insupport(::UnivariateDistribution, x::Any)
 pdf(::UnivariateDistribution, ::Real)
 logpdf(::UnivariateDistribution, ::Real)
+gradlogpdf(::Distribution, ::Any)
 loglikelihood(::UnivariateDistribution, ::AbstractArray)
 cdf(::UnivariateDistribution, ::Real)
 logcdf(::UnivariateDistribution, ::Real)

src/common.jl

@@ -256,7 +256,7 @@ be disabled by using `@inbounds`.
 Instead of `logpdf` one should implement `_logpdf(d, x)` which does not have to check the
 size of `x`.
 
-See also: [`pdf`](@ref).
+See also: [`pdf`](@ref), [`gradlogpdf`](@ref).
 """
 @inline function logpdf(
     d::Distribution{ArrayLikeVariate{N}}, x::AbstractArray{<:Real,M}
@@ -280,6 +280,17 @@ See also: [`pdf`](@ref).
     end
 end
 
+"""
+    gradlogpdf(d::Distribution, x)
+
+Evaluate the gradient of the logarithm of the probability density function of `d` at `x`.
+
+For univariate distributions, return the derivative.
+
+See also: [`logpdf`](@ref).
+"""
+function gradlogpdf end
+
 # `_logpdf` should be implemented and has no default definition
 # _logpdf(d::Distribution{ArrayLikeVariate{N}}, x::AbstractArray{<:Real,N}) where {N}