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matrix_normal_prec_log.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_PROB_MATRIX_NORMAL_PREC_LOG_HPP
2 #define STAN_MATH_PRIM_MAT_PROB_MATRIX_NORMAL_PREC_LOG_HPP
3
4 #include <stan/math/prim/mat/err/check_ldlt_factor.hpp>
5 #include <stan/math/prim/scal/err/check_size_match.hpp>
6 #include <stan/math/prim/mat/err/check_symmetric.hpp>
7 #include <stan/math/prim/scal/err/check_finite.hpp>
8 #include <stan/math/prim/scal/err/check_not_nan.hpp>
9 #include <stan/math/prim/scal/err/check_positive.hpp>
10 #include <stan/math/prim/mat/fun/log.hpp>
11 #include <stan/math/prim/mat/fun/log_determinant.hpp>
12 #include <stan/math/prim/mat/fun/log_determinant_ldlt.hpp>
13 #include <stan/math/prim/mat/fun/subtract.hpp>
14 #include <stan/math/prim/mat/fun/trace_quad_form.hpp>
15 #include <stan/math/prim/mat/fun/trace_gen_quad_form.hpp>
16 #include <stan/math/prim/scal/fun/constants.hpp>
17 #include <stan/math/prim/scal/meta/include_summand.hpp>
18
19 namespace stan {
20 namespace math {
39 template <bool propto,
40 typename T_y, typename T_Mu, typename T_Sigma, typename T_D>
41 typename boost::math::tools::promote_args<T_y, T_Mu, T_Sigma, T_D>::type
42 matrix_normal_prec_log(const Eigen::Matrix
43 <T_y, Eigen::Dynamic, Eigen::Dynamic>& y,
44 const Eigen::Matrix
45 <T_Mu, Eigen::Dynamic, Eigen::Dynamic>& Mu,
46 const Eigen::Matrix
47 <T_Sigma, Eigen::Dynamic, Eigen::Dynamic>& Sigma,
48 const Eigen::Matrix
49 <T_D, Eigen::Dynamic, Eigen::Dynamic>& D) {
50 static const char* function("matrix_normal_prec_log");
51 typename
52 boost::math::tools::promote_args<T_y, T_Mu, T_Sigma, T_D>::type lp(0.0);
53
54 check_positive(function, "Sigma rows", Sigma.rows());
55 check_finite(function, "Sigma", Sigma);
56 check_symmetric(function, "Sigma", Sigma);
57
58 LDLT_factor<T_Sigma, Eigen::Dynamic, Eigen::Dynamic> ldlt_Sigma(Sigma);
59 check_ldlt_factor(function, "LDLT_Factor of Sigma", ldlt_Sigma);
60 check_positive(function, "D rows", D.rows());
61 check_finite(function, "D", D);
62 check_symmetric(function, "Sigma", D);
63
64 LDLT_factor<T_D, Eigen::Dynamic, Eigen::Dynamic> ldlt_D(D);
65 check_ldlt_factor(function, "LDLT_Factor of D", ldlt_D);
66 check_size_match(function,
67 "Rows of random variable", y.rows(),
68 "Rows of location parameter", Mu.rows());
69 check_size_match(function,
70 "Columns of random variable", y.cols(),
71 "Columns of location parameter", Mu.cols());
72 check_size_match(function,
73 "Rows of random variable", y.rows(),
74 "Rows of Sigma", Sigma.rows());
75 check_size_match(function,
76 "Columns of random variable", y.cols(),
77 "Rows of D", D.rows());
78 check_finite(function, "Location parameter", Mu);
79 check_finite(function, "Random variable", y);
80
81 if (include_summand<propto>::value)
82 lp += NEG_LOG_SQRT_TWO_PI * y.cols() * y.rows();
83
84 if (include_summand<propto, T_Sigma>::value) {
85 lp += log_determinant_ldlt(ldlt_Sigma) * (0.5 * y.rows());
86 }
87
88 if (include_summand<propto, T_D>::value) {
89 lp += log_determinant_ldlt(ldlt_D) * (0.5 * y.cols());
90 }
91
92 if (include_summand<propto, T_y, T_Mu, T_Sigma, T_D>::value) {
93 lp -= 0.5 * trace_gen_quad_form(D, Sigma, subtract(y, Mu));
94 }
95 return lp;
96 }
97
98 template <typename T_y, typename T_Mu, typename T_Sigma, typename T_D>
99 typename boost::math::tools::promote_args<T_y, T_Mu, T_Sigma, T_D>::type
100 matrix_normal_prec_log(const Eigen::Matrix
101 <T_y, Eigen::Dynamic, Eigen::Dynamic>& y,
102 const Eigen::Matrix
103 <T_Mu, Eigen::Dynamic, Eigen::Dynamic>& Mu,
104 const Eigen::Matrix
105 <T_Sigma, Eigen::Dynamic, Eigen::Dynamic>& Sigma,
106 const Eigen::Matrix
107 <T_D, Eigen::Dynamic, Eigen::Dynamic>& D) {
108 return matrix_normal_prec_log<false>(y, Mu, Sigma, D);
109 }
110
111 }
112 }
113 #endif
check_not_nan.hpp
stan::math::matrix_normal_prec_log
boost::math::tools::promote_args< T_y, T_Mu, T_Sigma, T_D >::type matrix_normal_prec_log(const Eigen::Matrix< T_y, Eigen::Dynamic, Eigen::Dynamic > &y, const Eigen::Matrix< T_Mu, Eigen::Dynamic, Eigen::Dynamic > &Mu, const Eigen::Matrix< T_Sigma, Eigen::Dynamic, Eigen::Dynamic > &Sigma, const Eigen::Matrix< T_D, Eigen::Dynamic, Eigen::Dynamic > &D)
The log of the matrix normal density for the given y, mu, Sigma and D where Sigma and D are given as ...
Definition: matrix_normal_prec_log.hpp:42
log_determinant.hpp
check_size_match.hpp
check_positive.hpp
stan
Definition: log_sum_exp.hpp:8
stan::math::subtract
Eigen::Matrix< typename boost::math::tools::promote_args< T1, T2 >::type, R, C > subtract(const Eigen::Matrix< T1, R, C > &m1, const Eigen::Matrix< T2, R, C > &m2)
Return the result of subtracting the second specified matrix from the first specified matrix...
Definition: subtract.hpp:27
check_symmetric.hpp
stan::math::include_summand
Template metaprogram to calculate whether a summand needs to be included in a proportional (log) prob...
Definition: include_summand.hpp:35
stan::math::check_ldlt_factor
bool check_ldlt_factor(const char *function, const char *name, LDLT_factor< T, R, C > &A)
Return true if the argument is a valid LDLT_factor.
Definition: check_ldlt_factor.hpp:34
log.hpp
stan::math::trace_gen_quad_form
fvar< T > trace_gen_quad_form(const Eigen::Matrix< fvar< T >, RD, CD > &D, const Eigen::Matrix< fvar< T >, RA, CA > &A, const Eigen::Matrix< fvar< T >, RB, CB > &B)
Definition: trace_gen_quad_form.hpp:16
include_summand.hpp
check_ldlt_factor.hpp
trace_gen_quad_form.hpp
stan::math::LDLT_factor
Definition: LDLT_factor.hpp:13
trace_quad_form.hpp
stan::math::check_positive
bool check_positive(const char *function, const char *name, const T_y &y)
Return true if y is positive.
Definition: check_positive.hpp:66
stan::math::check_size_match
bool check_size_match(const char *function, const char *name_i, T_size1 i, const char *name_j, T_size2 j)
Return true if the provided sizes match.
Definition: check_size_match.hpp:30
stan::math::NEG_LOG_SQRT_TWO_PI
const double NEG_LOG_SQRT_TWO_PI
Definition: constants.hpp:181
stan::math::check_finite
bool check_finite(const char *function, const char *name, const T_y &y)
Return true if y is finite.
Definition: check_finite.hpp:60
constants.hpp
check_finite.hpp
stan::math::check_symmetric
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.
Definition: check_symmetric.hpp:36
subtract.hpp
stan::math::log_determinant_ldlt
T log_determinant_ldlt(LDLT_factor< T, R, C > &A)
Definition: log_determinant_ldlt.hpp:12
log_determinant_ldlt.hpp

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