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corr_matrix_free.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_FUN_CORR_MATRIX_FREE_HPP
2 #define STAN_MATH_PRIM_MAT_FUN_CORR_MATRIX_FREE_HPP
3
4 #include <stan/math/prim/arr/err/check_nonzero_size.hpp>
5 #include <stan/math/prim/mat/fun/Eigen.hpp>
6 #include <stan/math/prim/mat/err/constraint_tolerance.hpp>
7 #include <stan/math/prim/mat/err/check_square.hpp>
8 #include <stan/math/prim/scal/err/domain_error.hpp>
9 #include <stan/math/prim/mat/fun/factor_cov_matrix.hpp>
10 #include <stan/math/prim/mat/meta/index_type.hpp>
11 #include <cmath>
12
13 namespace stan {
14 namespace math {
15
36 template <typename T>
37 Eigen::Matrix<T, Eigen::Dynamic, 1>
38 corr_matrix_free(const Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>&
39 y) {
40 check_square("corr_matrix_free", "y", y);
41 check_nonzero_size("corr_matrix_free", "y", y);
42
43 using Eigen::Array;
44 using Eigen::Dynamic;
45 using Eigen::Matrix;
46 typedef typename index_type<Matrix<T, Dynamic, 1> >::type size_type;
47
48 size_type k = y.rows();
49 size_type k_choose_2 = (k * (k-1)) / 2;
50 Array<T, Dynamic, 1> x(k_choose_2);
51 Array<T, Dynamic, 1> sds(k);
52 bool successful = factor_cov_matrix(y, x, sds);
53 if (!successful)
54 domain_error("corr_matrix_free",
55 "factor_cov_matrix failed on y", y, "");
56 for (size_type i = 0; i < k; ++i) {
57 check_bounded("corr_matrix_free", "log(sd)",
58 sds[i], -CONSTRAINT_TOLERANCE, CONSTRAINT_TOLERANCE);
59 }
60 return x.matrix();
61 }
62 }
63 }
64 #endif
stan
Definition: log_sum_exp.hpp:8
stan::math::check_bounded
bool check_bounded(const char *function, const char *name, const T_y &y, const T_low &low, const T_high &high)
Return true if the value is between the low and high values, inclusively.
Definition: check_bounded.hpp:95
constraint_tolerance.hpp
stan::math::CONSTRAINT_TOLERANCE
const double CONSTRAINT_TOLERANCE
The tolerance for checking arithmetic bounds In rank and in simplexes.
Definition: constraint_tolerance.hpp:11
stan::math::check_nonzero_size
bool check_nonzero_size(const char *function, const char *name, const T_y &y)
Return true if the specified matrix/vector is of non-zero size.
Definition: check_nonzero_size.hpp:29
stan::math::size_type
Eigen::Matrix< double, Eigen::Dynamic, Eigen::Dynamic >::Index size_type
Type for sizes and indexes in an Eigen matrix with double e.
Definition: typedefs.hpp:13
stan::math::index_type
Primary template class for the metaprogram to compute the index type of a container.
Definition: index_type.hpp:18
stan::math::factor_cov_matrix
bool factor_cov_matrix(const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &Sigma, Eigen::Array< T, Eigen::Dynamic, 1 > &CPCs, Eigen::Array< T, Eigen::Dynamic, 1 > &sds)
This function is intended to make starting values, given a covariance matrix Sigma.
Definition: factor_cov_matrix.hpp:25
index_type.hpp
stan::math::domain_error
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.
Definition: domain_error.hpp:30
Eigen.hpp
factor_cov_matrix.hpp
stan::math::corr_matrix_free
Eigen::Matrix< T, Eigen::Dynamic, 1 > corr_matrix_free(const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &y)
Return the vector of unconstrained partial correlations that define the specified correlation matrix ...
Definition: corr_matrix_free.hpp:38
domain_error.hpp
check_nonzero_size.hpp
stan::math::check_square
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.
Definition: check_square.hpp:28
check_square.hpp

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