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trace_gen_inv_quad_form_ldlt.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_FUN_TRACE_GEN_INV_QUAD_FORM_LDLT_HPP
2 #define STAN_MATH_PRIM_MAT_FUN_TRACE_GEN_INV_QUAD_FORM_LDLT_HPP
3
4 #include <stan/math/prim/mat/fun/Eigen.hpp>
5 #include <stan/math/prim/mat/fun/LDLT_factor.hpp>
6 #include <stan/math/prim/mat/err/check_multiplicable.hpp>
7 #include <stan/math/prim/mat/err/check_square.hpp>
8 #include <stan/math/prim/mat/fun/mdivide_left_ldlt.hpp>
9 #include <stan/math/prim/mat/fun/trace.hpp>
10 #include <stan/math/prim/mat/fun/transpose.hpp>
11 #include <stan/math/prim/mat/fun/multiply.hpp>
12 #include <stan/math/prim/scal/meta/is_var.hpp>
13
14 namespace stan {
15 namespace math {
16
17 /*
18 * Compute the trace of an inverse quadratic form. I.E., this computes
19 * trace(D B^T A^-1 B)
20 * where D is a square matrix and the LDLT_factor of A is provided.
21 */
22 template <typename T1, typename T2, typename T3,
23 int R1, int C1, int R2, int C2, int R3, int C3>
24 inline typename
25 boost::enable_if_c<!stan::is_var<T1>::value &&
26 !stan::is_var<T2>::value &&
27 !stan::is_var<T3>::value,
28 typename
29 boost::math::tools::promote_args<T1, T2, T3>::type>::type
30 trace_gen_inv_quad_form_ldlt(const Eigen::Matrix<T1, R1, C1> &D,
31 const stan::math::LDLT_factor<T2, R2, C2> &A,
32 const Eigen::Matrix<T3, R3, C3> &B) {
33 stan::math::check_square("trace_gen_inv_quad_form_ldlt", "D", D);
34 stan::math::check_multiplicable("trace_gen_inv_quad_form_ldlt",
35 "A", A,
36 "B", B);
37 stan::math::check_multiplicable("trace_gen_inv_quad_form_ldlt",
38 "B", B,
39 "D", D);
40
41 return trace(multiply(multiply(D, transpose(B)),
42 mdivide_left_ldlt(A, B)));
43 }
44
45 }
46 }
47 #endif
multiply.hpp
check_multiplicable.hpp
stan
Definition: log_sum_exp.hpp:8
stan::is_var
Definition: is_var.hpp:7
stan::math::multiply
Eigen::Matrix< fvar< T >, R1, C1 > multiply(const Eigen::Matrix< fvar< T >, R1, C1 > &m, const fvar< T > &c)
Definition: multiply.hpp:21
stan::math::trace_gen_inv_quad_form_ldlt
boost::enable_if_c<!stan::is_var< T1 >::value &&!stan::is_var< T2 >::value &&!stan::is_var< T3 >::value, typename boost::math::tools::promote_args< T1, T2, T3 >::type >::type trace_gen_inv_quad_form_ldlt(const Eigen::Matrix< T1, R1, C1 > &D, const stan::math::LDLT_factor< T2, R2, C2 > &A, const Eigen::Matrix< T3, R3, C3 > &B)
Definition: trace_gen_inv_quad_form_ldlt.hpp:30
transpose.hpp
trace.hpp
is_var.hpp
stan::math::LDLT_factor
Definition: LDLT_factor.hpp:18
LDLT_factor.hpp
stan::math::mdivide_left_ldlt
Eigen::Matrix< fvar< T2 >, R1, C2 > mdivide_left_ldlt(const stan::math::LDLT_factor< double, R1, C1 > &A, const Eigen::Matrix< fvar< T2 >, R2, C2 > &b)
Returns the solution of the system Ax=b given an LDLT_factor of A.
Definition: mdivide_left_ldlt.hpp:25
stan::math::check_multiplicable
bool check_multiplicable(const char *function, const char *name1, const T1 &y1, const char *name2, const T2 &y2)
Return true if the matrices can be multiplied.
Definition: check_multiplicable.hpp:33
Eigen.hpp
stan::math::trace
T trace(const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &m)
Returns the trace of the specified matrix.
Definition: trace.hpp:20
mdivide_left_ldlt.hpp
stan::math::transpose
Eigen::Matrix< T, C, R > transpose(const Eigen::Matrix< T, R, C > &m)
Definition: transpose.hpp:12
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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