Stan Math Library  2.11.0
reverse mode automatic differentiation
inverse_spd.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_FUN_INVERSE_SPD_HPP
2 #define STAN_MATH_PRIM_MAT_FUN_INVERSE_SPD_HPP
3 
7 #include <stdexcept>
8 
9 namespace stan {
10  namespace math {
11 
17  template <typename T>
18  inline
19  Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>
20  inverse_spd(const Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>& m) {
21  using Eigen::Dynamic;
22  using Eigen::LDLT;
23  using Eigen::Matrix;
24  stan::math::check_square("inverse_spd", "m", m);
25  stan::math::check_symmetric("inverse_spd", "m", m);
26  Matrix<T, Dynamic, Dynamic> mmt = T(0.5) * (m + m.transpose());
27  // mmt = T(0.5) * mmt;
28  LDLT<Matrix<T, Dynamic, Dynamic> > ldlt(mmt); // 0.5*(m+m.transpose()));
29  if (ldlt.info() != Eigen::Success)
30  throw std::domain_error("Error in inverse_spd, LDLT "
31  "factorization failed");
32  if (!ldlt.isPositive())
33  throw std::domain_error("Error in inverse_spd, matrix "
34  "not positive definite");
35  Matrix<T, Dynamic, 1> diag_ldlt = ldlt.vectorD();
36  for (int i = 0; i < diag_ldlt.size(); ++i)
37  if (diag_ldlt(i) <= 0)
38  throw std::domain_error("Error in inverse_spd, matrix "
39  "not positive definite");
40  return ldlt.solve(Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>
41  ::Identity(m.rows(), m.cols()));
42  }
43 
44  }
45 }
46 #endif
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.
Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > inverse_spd(const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &m)
Returns the inverse of the specified symmetric, pos/neg-definite matrix.
Definition: inverse_spd.hpp:20
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.
bool check_square(const char *function, const char *name, const Eigen::Matrix< T_y, Eigen::Dynamic, Eigen::Dynamic > &y)
Return true if the specified matrix is square.

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