Stan Math Library  2.12.0
reverse mode automatic differentiation
check_pos_definite.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_ERR_CHECK_POS_DEFINITE_HPP
2 #define STAN_MATH_PRIM_MAT_ERR_CHECK_POS_DEFINITE_HPP
3 
15 namespace stan {
16  namespace math {
17 
32  template <typename T_y>
33  inline bool check_pos_definite(const char* function, const char* name,
34  const Eigen::Matrix<T_y, -1, -1>& y) {
35  check_symmetric(function, name, y);
36  check_positive_size(function, name, "rows", y.rows());
37  if (y.rows() == 1 && !(y(0, 0) > CONSTRAINT_TOLERANCE))
38  domain_error(function, name, "is not positive definite.", "");
39 
40  Eigen::LDLT<Eigen::MatrixXd> cholesky = value_of_rec(y).ldlt();
41  if (cholesky.info() != Eigen::Success
42  || !cholesky.isPositive()
43  || (cholesky.vectorD().array() <= 0.0).any())
44  domain_error(function, name, "is not positive definite.", "");
45  check_not_nan(function, name, y);
46  return true;
47  }
48 
62  template <typename Derived>
63  inline bool check_pos_definite(const char* function, const char* name,
64  const Eigen::LDLT<Derived>& cholesky) {
65  if (cholesky.info() != Eigen::Success
66  || !cholesky.isPositive()
67  || !(cholesky.vectorD().array() > 0.0).all())
68  domain_error(function, "LDLT decomposition of", " failed", name);
69  return true;
70  }
71 
87  template <typename Derived>
88  inline bool check_pos_definite(const char* function, const char* name,
89  const Eigen::LLT<Derived>& cholesky) {
90  if (cholesky.info() != Eigen::Success
91  || !(cholesky.matrixLLT().diagonal().array() > 0.0).all())
92  domain_error(function, "Matrix", " is not positive definite", name);
93  return true;
94  }
95 
96  }
97 }
98 #endif
bool check_not_nan(const char *function, const char *name, const T_y &y)
Return true if y is not NaN.
bool check_positive_size(const char *function, const char *name, const char *expr, const int size)
Return true if size is positive.
double value_of_rec(const fvar< T > &v)
Return the value of the specified variable.
const double CONSTRAINT_TOLERANCE
The tolerance for checking arithmetic bounds In rank and in simplexes.
void domain_error(const char *function, const char *name, const T &y, const char *msg1, const char *msg2)
Throw a domain error with a consistently formatted message.
bool check_pos_definite(const char *function, const char *name, const Eigen::Matrix< T_y,-1,-1 > &y)
Return true if the specified square, symmetric matrix is positive definite.
bool check_symmetric(const char *function, const char *name, const Eigen::Matrix< T_y, Eigen::Dynamic, Eigen::Dynamic > &y)
Return true if the specified matrix is symmetric.

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