// Initialize space for the numerical gradient.
  vector<float> dtheta_approx(num_elems);

  // Get theta shape and store in theta_dims.
  int num_dims = TF_NumDims(theta_tensor);
  vector<int64_t> theta_dims(num_dims);
  GetDims(theta_tensor, theta_dims.data());

  // Initialize auxilary data structures.
  vector<float> thetaPlus_data(num_elems);
  vector<float> thetaMinus_data(num_elems);