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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
4 #include <stan/math/prim/mat/fun/Eigen.hpp>
5 #include <stan/math/prim/mat/err/check_square.hpp>
6 #include <stan/math/prim/mat/err/check_symmetric.hpp>
7
8 namespace stan {
9 namespace math {
10
16 template <typename T>
17 inline
18 Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>
19 inverse_spd(const Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>& m) {
20 using Eigen::Dynamic;
21 using Eigen::LDLT;
22 using Eigen::Matrix;
23 stan::math::check_square("inverse_spd", "m", m);
24 stan::math::check_symmetric("inverse_spd", "m", m);
25 Matrix<T, Dynamic, Dynamic> mmt = T(0.5) * (m + m.transpose());
26 // mmt = T(0.5) * mmt;
27 LDLT<Matrix<T, Dynamic, Dynamic> > ldlt(mmt); // 0.5*(m+m.transpose()));
28 if (ldlt.info() != Eigen::Success)
29 throw std::domain_error("Error in inverse_spd, LDLT "
30 "factorization failed");
31 if (!ldlt.isPositive())
32 throw std::domain_error("Error in inverse_spd, matrix "
33 "not positive definite");
34 Matrix<T, Dynamic, 1> diag_ldlt = ldlt.vectorD();
35 for (int i = 0; i < diag_ldlt.size(); ++i)
36 if (diag_ldlt(i) <= 0)
37 throw std::domain_error("Error in inverse_spd, matrix "
38 "not positive definite");
39 return ldlt.solve(Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic>
40 ::Identity(m.rows(), m.cols()));
41 }
42
43 }
44 }
45 #endif
stan::math::check_symmetric
bool check_symmetric(const char *function, const char *name, const Eigen::Matrix< T_y, Dynamic, Dynamic > &y)
Return true if the specified matrix is symmetric.
Definition: check_symmetric.hpp:38
check_symmetric.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:32
Eigen.hpp
stan::math::inverse_spd
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:19
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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