Stan Math Library  2.12.0
reverse mode automatic differentiation
LDLT_alloc.hpp
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1 #ifndef STAN_MATH_REV_MAT_FUN_LDLT_ALLOC_HPP
2 #define STAN_MATH_REV_MAT_FUN_LDLT_ALLOC_HPP
3 
5 #include <stan/math/rev/core.hpp>
6 
7 namespace stan {
8  namespace math {
19  template<int R, int C>
20  class LDLT_alloc : public chainable_alloc {
21  public:
22  LDLT_alloc() : N_(0) {}
23  explicit LDLT_alloc(const Eigen::Matrix<var, R, C> &A) : N_(0) {
24  compute(A);
25  }
26 
32  inline void compute(const Eigen::Matrix<var, R, C> &A) {
33  Eigen::Matrix<double, R, C> Ad(A.rows(), A.cols());
34 
35  N_ = A.rows();
36  variA_.resize(A.rows(), A.cols());
37 
38  for (size_t j = 0; j < N_; j++) {
39  for (size_t i = 0; i < N_; i++) {
40  Ad(i, j) = A(i, j).val();
41  variA_(i, j) = A(i, j).vi_;
42  }
43  }
44 
45  ldlt_.compute(Ad);
46  }
47 
48  // Compute the log(abs(det(A))). This is just a convenience function.
49  inline double log_abs_det() const {
50  return ldlt_.vectorD().array().log().sum();
51  }
52 
53  size_t N_;
54  Eigen::LDLT<Eigen::Matrix<double, R, C> > ldlt_;
55  Eigen::Matrix<vari*, R, C> variA_;
56  };
57  }
58 }
59 #endif
Eigen::LDLT< Eigen::Matrix< double, R, C > > ldlt_
Definition: LDLT_alloc.hpp:54
This object stores the actual (double typed) LDLT factorization of an Eigen::Matrix along with p...
Definition: LDLT_alloc.hpp:20
LDLT_alloc(const Eigen::Matrix< var, R, C > &A)
Definition: LDLT_alloc.hpp:23
A chainable_alloc is an object which is constructed and destructed normally but the memory lifespan i...
double log_abs_det() const
Definition: LDLT_alloc.hpp:49
Eigen::Matrix< vari *, R, C > variA_
Definition: LDLT_alloc.hpp:55
void compute(const Eigen::Matrix< var, R, C > &A)
Compute the LDLT factorization and store pointers to the vari's of the matrix entries to be used when...
Definition: LDLT_alloc.hpp:32

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