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This is marked as a to-do in the code, along with a suggestion of how to handle it.
The whole function could probably be cleaned up while we're at it. It's not easy to read because it's doing so much all in a single function. It would be better to split up the construction of the tests from their execution. This would make extending to multiple outputs very straightforward -- just add one more outer loop.
I don't know how we feel about another dependency, but farming out the actual numerical gradients to a specialized package like numdifftools might be good too.