TF_Tensor* theta_tensor;
  TF_RETURN_IF_ERROR(GetValue(theta, &theta_tensor));

  // Get number of elements and fill data.
  int num_elems = TF_TensorElementCount(theta_tensor);
  vector<float> theta_data(num_elems);
  memcpy(theta_data.data(), TF_TensorData(theta_tensor),
         TF_TensorByteSize(theta_tensor));

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