Stan Math Library  2.14.0
reverse mode automatic differentiation
check_pos_definite.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_ERR_CHECK_POS_DEFINITE_HPP
2 #define STAN_MATH_PRIM_MAT_ERR_CHECK_POS_DEFINITE_HPP
3 
15 
16 namespace stan {
17  namespace math {
18 
32  template <typename T_y>
33  inline void check_pos_definite(const char* function, const char* name,
34  const Eigen::Matrix<T_y, -1, -1>& y) {
35  check_symmetric(function, name, y);
36  check_positive_size(function, name, "rows", y.rows());
37  if (y.rows() == 1 && !(y(0, 0) > CONSTRAINT_TOLERANCE))
38  domain_error(function, name, "is not positive definite.", "");
39 
40  Eigen::LDLT<Eigen::MatrixXd> cholesky = value_of_rec(y).ldlt();
41  if (cholesky.info() != Eigen::Success
42  || !cholesky.isPositive()
43  || (cholesky.vectorD().array() <= 0.0).any())
44  domain_error(function, name, "is not positive definite.", "");
45  check_not_nan(function, name, y);
46  }
47 
60  template <typename Derived>
61  inline void check_pos_definite(const char* function, const char* name,
62  const Eigen::LDLT<Derived>& cholesky) {
63  if (cholesky.info() != Eigen::Success
64  || !cholesky.isPositive()
65  || !(cholesky.vectorD().array() > 0.0).all())
66  domain_error(function, "LDLT decomposition of", " failed", name);
67  }
68 
83  template <typename Derived>
84  inline void check_pos_definite(const char* function, const char* name,
85  const Eigen::LLT<Derived>& cholesky) {
86  if (cholesky.info() != Eigen::Success
87  || !(cholesky.matrixLLT().diagonal().array() > 0.0).all())
88  domain_error(function, "Matrix", " is not positive definite", name);
89  }
90 
91  }
92 }
93 #endif
double value_of_rec(const fvar< T > &v)
Return the value of the specified variable.
void check_positive_size(const char *function, const char *name, const char *expr, int size)
Check if size is positive.
const double CONSTRAINT_TOLERANCE
The tolerance for checking arithmetic bounds In rank and in simplexes.
void check_not_nan(const char *function, const char *name, const T_y &y)
Check if y is not NaN.
void check_symmetric(const char *function, const char *name, const Eigen::Matrix< T_y, Eigen::Dynamic, Eigen::Dynamic > &y)
Check if the specified matrix is symmetric.
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.
void check_pos_definite(const char *function, const char *name, const Eigen::Matrix< T_y, -1, -1 > &y)
Check if the specified square, symmetric matrix is positive definite.

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