Stan Math Library  2.14.0
reverse mode automatic differentiation
cholesky_factor_constrain.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_FUN_CHOLESKY_FACTOR_CONSTRAIN_HPP
2 #define STAN_MATH_PRIM_MAT_FUN_CHOLESKY_FACTOR_CONSTRAIN_HPP
3 
8 #include <cmath>
9 #include <stdexcept>
10 #include <vector>
11 
12 namespace stan {
13  namespace math {
14 
26  template <typename T>
27  Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>
28  cholesky_factor_constrain(const Eigen::Matrix<T, Eigen::Dynamic, 1>& x,
29  int M,
30  int N) {
31  using std::exp;
32  check_greater_or_equal("cholesky_factor_constrain",
33  "num rows (must be greater or equal to num cols)",
34  M, N);
35  check_size_match("cholesky_factor_constrain",
36  "x.size()", x.size(),
37  "((N * (N + 1)) / 2 + (M - N) * N)",
38  ((N * (N + 1)) / 2 + (M - N) * N));
39  Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic> y(M, N);
40  T zero(0);
41  int pos = 0;
42 
43  for (int m = 0; m < N; ++m) {
44  for (int n = 0; n < m; ++n)
45  y(m, n) = x(pos++);
46  y(m, m) = exp(x(pos++));
47  for (int n = m + 1; n < N; ++n)
48  y(m, n) = zero;
49  }
50 
51  for (int m = N; m < M; ++m)
52  for (int n = 0; n < N; ++n)
53  y(m, n) = x(pos++);
54  return y;
55  }
56 
71  template <typename T>
72  Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>
73  cholesky_factor_constrain(const Eigen::Matrix<T, Eigen::Dynamic, 1>& x,
74  int M,
75  int N,
76  T& lp) {
77  check_size_match("cholesky_factor_constrain",
78  "x.size()", x.size(),
79  "((N * (N + 1)) / 2 + (M - N) * N)",
80  ((N * (N + 1)) / 2 + (M - N) * N));
81  int pos = 0;
82  std::vector<T> log_jacobians(N);
83  for (int n = 0; n < N; ++n) {
84  pos += n;
85  log_jacobians[n] = x(pos++);
86  }
87  lp += sum(log_jacobians);
88  return cholesky_factor_constrain(x, M, N);
89  }
90 
91  }
92 }
93 #endif
fvar< T > sum(const std::vector< fvar< T > > &m)
Return the sum of the entries of the specified standard vector.
Definition: sum.hpp:20
void check_size_match(const char *function, const char *name_i, T_size1 i, const char *name_j, T_size2 j)
Check if the provided sizes match.
void check_greater_or_equal(const char *function, const char *name, const T_y &y, const T_low &low)
Check if y is greater or equal than low.
Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > cholesky_factor_constrain(const Eigen::Matrix< T, Eigen::Dynamic, 1 > &x, int M, int N)
Return the Cholesky factor of the specified size read from the specified vector.
fvar< T > exp(const fvar< T > &x)
Definition: exp.hpp:10

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