Stan Math Library  2.11.0
reverse mode automatic differentiation
check_pos_semidefinite.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_ERR_CHECK_POS_SEMIDEFINITE_HPP
2 #define STAN_MATH_PRIM_MAT_ERR_CHECK_POS_SEMIDEFINITE_HPP
3 
12 #include <sstream>
13 
14 namespace stan {
15 
16  namespace math {
33  template <typename T_y>
34  inline bool
36  const char* function,
37  const char* name,
38  const Eigen::Matrix<T_y, Eigen::Dynamic, Eigen::Dynamic>& y
39  ) {
40  check_symmetric(function, name, y);
41  check_positive_size(function, name, "rows", y.rows());
42 
43  if (y.rows() == 1 && !(y(0, 0) >= 0.0))
44  domain_error(function, name, y, "is not positive semi-definite: ");
45 
46  using Eigen::LDLT;
47  using Eigen::Matrix;
48  using Eigen::Dynamic;
49  LDLT<Matrix<double, Dynamic, Dynamic> > cholesky
50  = value_of_rec(y).ldlt();
51  if (cholesky.info() != Eigen::Success
52  || (cholesky.vectorD().array() < 0.0).any())
53  domain_error(function, name, y, "is not positive semi-definite:\n");
54  check_not_nan(function, name, y);
55  return true;
56  }
57 
58  }
59 }
60 #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.
bool check_pos_semidefinite(const char *function, const char *name, const Eigen::Matrix< T_y, Eigen::Dynamic, Eigen::Dynamic > &y)
Return true if the specified matrix is positive definite.
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_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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