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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 
18  namespace math {
19  using Eigen::Dynamic;
36  template <typename T_y>
37  inline bool
38  check_pos_definite(const char* function,
39  const char* name,
40  const Eigen::Matrix<T_y, Dynamic, Dynamic>& y) {
41  check_symmetric(function, name, y);
42  check_positive_size(function, name, "rows", y.rows());
43 
44  if (y.rows() == 1 && !(y(0, 0) > CONSTRAINT_TOLERANCE))
45  domain_error(function, name, y, "is not positive definite: ");
46 
47  using Eigen::LDLT;
48  using Eigen::Matrix;
49  using Eigen::Dynamic;
50  LDLT< Matrix<double, Dynamic, Dynamic> > cholesky
51  = value_of_rec(y).ldlt();
52  if (cholesky.info() != Eigen::Success
53  || !cholesky.isPositive()
54  || (cholesky.vectorD().array() <= CONSTRAINT_TOLERANCE).any())
55  domain_error(function, name, y, "is not positive definite:\n");
56  check_not_nan(function, name, y);
57  return true;
58  }
59 
60  }
61 }
62 #endif
bool check_not_nan(const char *function, const char *name, const T_y &y)
Return true if y is not NaN.
bool check_positive_size(const char *function, const char *name, const char *expr, const int size)
Return true if size is positive.
double value_of_rec(const fvar< T > &v)
Return the value of the specified variable.
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.
const double CONSTRAINT_TOLERANCE
The tolerance for checking arithmetic bounds In rank and in simplexes.
bool check_pos_definite(const char *function, const char *name, const Eigen::Matrix< T_y, Dynamic, Dynamic > &y)
Return true if the specified square, symmetric matrix is positive definite.
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.

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