Stan Math Library  2.9.0
reverse mode automatic differentiation
trace_inv_quad_form_ldlt.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_FUN_TRACE_INV_QUAD_FORM_LDLT_HPP
2 #define STAN_MATH_PRIM_MAT_FUN_TRACE_INV_QUAD_FORM_LDLT_HPP
3 
12 
13 namespace stan {
14  namespace math {
15 
16  /*
17  * Compute the trace of an inverse quadratic form. I.E., this computes
18  * trace(B^T A^-1 B)
19  * where the LDLT_factor of A is provided.
20  */
21  template <typename T1, typename T2, int R2, int C2, int R3, int C3>
22  inline typename
23  boost::enable_if_c<!stan::is_var<T1>::value &&
25  typename
26  boost::math::tools::promote_args<T1, T2>::type>::type
28  const Eigen::Matrix<T2, R3, C3> &B) {
29  stan::math::check_multiplicable("trace_inv_quad_form_ldlt",
30  "A", A,
31  "B", B);
32 
33  return trace(multiply(transpose(B), mdivide_left_ldlt(A, B)));
34  }
35  }
36 }
37 
38 #endif
Eigen::Matrix< fvar< T >, R1, C1 > multiply(const Eigen::Matrix< fvar< T >, R1, C1 > &m, const fvar< T > &c)
Definition: multiply.hpp:20
boost::enable_if_c<!stan::is_var< T1 >::value &&!stan::is_var< T2 >::value, typename boost::math::tools::promote_args< T1, T2 >::type >::type trace_inv_quad_form_ldlt(const stan::math::LDLT_factor< T1, R2, C2 > &A, const Eigen::Matrix< T2, R3, C3 > &B)
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.
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.
T trace(const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &m)
Returns the trace of the specified matrix.
Definition: trace.hpp:20
Eigen::Matrix< T, C, R > transpose(const Eigen::Matrix< T, R, C > &m)
Definition: transpose.hpp:12

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