Stan Math Library  2.12.0
reverse mode automatic differentiation
cov_matrix_free_lkj.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_FUN_COV_MATRIX_FREE_LKJ_HPP
2 #define STAN_MATH_PRIM_MAT_FUN_COV_MATRIX_FREE_LKJ_HPP
3 
9 
10 namespace stan {
11  namespace math {
12 
31  template <typename T>
32  Eigen::Matrix<T, Eigen::Dynamic, 1>
34  const Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>& y) {
35  using Eigen::Array;
36  using Eigen::Dynamic;
37  using Eigen::Matrix;
38  typedef typename index_type<Matrix<T, Dynamic, Dynamic> >::type size_type;
39 
40  check_nonzero_size("cov_matrix_free_lkj", "y", y);
41  check_square("cov_matrix_free_lkj", "y", y);
42  size_type k = y.rows();
43  size_type k_choose_2 = (k * (k-1)) / 2;
44  Array<T, Dynamic, 1> cpcs(k_choose_2);
45  Array<T, Dynamic, 1> sds(k);
46  bool successful = factor_cov_matrix(y, cpcs, sds);
47  if (!successful)
48  domain_error("cov_matrix_free_lkj",
49  "factor_cov_matrix failed on y", "", "");
50  Matrix<T, Dynamic, 1> x(k_choose_2 + k);
51  size_type pos = 0;
52  for (size_type i = 0; i < k_choose_2; ++i)
53  x[pos++] = cpcs[i];
54  for (size_type i = 0; i < k; ++i)
55  x[pos++] = sds[i];
56  return x;
57  }
58 
59  }
60 }
61 #endif
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.
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
Primary template class for the metaprogram to compute the index type of a container.
Definition: index_type.hpp:18
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.
Eigen::Matrix< T, Eigen::Dynamic, 1 > cov_matrix_free_lkj(const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &y)
Return the vector of unconstrained partial correlations and deviations that transform to the specifie...
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.
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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