Automatic Differentiation
 
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diag_post_multiply.hpp
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1#ifndef STAN_MATH_REV_FUN_DIAG_POST_MULTIPLY_HPP
2#define STAN_MATH_REV_FUN_DIAG_POST_MULTIPLY_HPP
3
4#include <stan/math/prim/fun/Eigen.hpp>
5#include <stan/math/rev/core.hpp>
6#include <stan/math/prim/err.hpp>
7#include <stan/math/prim/fun/diag_post_multiply.hpp>
8
9namespace stan {
10namespace math {
11
24template <typename T1, typename T2, require_matrix_t<T1>* = nullptr,
25 require_vector_t<T2>* = nullptr,
26 require_any_st_var<T1, T2>* = nullptr>
27auto diag_post_multiply(const T1& m1, const T2& m2) {
28 check_size_match("diag_post_multiply", "m2.size()", m2.size(), "m1.cols()",
29 m1.cols());
30 using inner_ret_type = decltype(value_of(m1) * value_of(m2).asDiagonal());
31 using ret_type = return_var_matrix_t<inner_ret_type, T1, T2>;
32
33 if (!is_constant<T1>::value && !is_constant<T2>::value) {
34 arena_t<promote_scalar_t<var, T1>> arena_m1 = m1;
35 arena_t<promote_scalar_t<var, T2>> arena_m2 = m2;
36 arena_t<ret_type> ret(arena_m1.val() * arena_m2.val().asDiagonal());
37 reverse_pass_callback([ret, arena_m1, arena_m2]() mutable {
38 arena_m2.adj() += arena_m1.val().cwiseProduct(ret.adj()).colwise().sum();
39 arena_m1.adj() += ret.adj() * arena_m2.val().asDiagonal();
40 });
41 return ret_type(ret);
42 } else if (!is_constant<T1>::value) {
43 arena_t<promote_scalar_t<var, T1>> arena_m1 = m1;
44 arena_t<promote_scalar_t<double, T2>> arena_m2 = value_of(m2);
45 arena_t<ret_type> ret(arena_m1.val() * arena_m2.asDiagonal());
46 reverse_pass_callback([ret, arena_m1, arena_m2]() mutable {
47 arena_m1.adj() += ret.adj() * arena_m2.val().asDiagonal();
48 });
49 return ret_type(ret);
50 } else if (!is_constant<T2>::value) {
51 arena_t<promote_scalar_t<double, T1>> arena_m1 = value_of(m1);
52 arena_t<promote_scalar_t<var, T2>> arena_m2 = m2;
53 arena_t<ret_type> ret(arena_m1 * arena_m2.val().asDiagonal());
54 reverse_pass_callback([ret, arena_m1, arena_m2]() mutable {
55 arena_m2.adj() += arena_m1.val().cwiseProduct(ret.adj()).colwise().sum();
56 });
57 return ret_type(ret);
58 }
59}
60
61} // namespace math
62} // namespace stan
63
64#endif
stan::math::diag_post_multiply
auto diag_post_multiply(const T1 &m1, const T2 &m2)
Return the product of a matrix and the diagonal matrix formed from the vector or row_vector.
Definition diag_post_multiply.hpp:25
stan::math::reverse_pass_callback
void reverse_pass_callback(F &&functor)
Puts a callback on the autodiff stack to be called in reverse pass.
Definition reverse_pass_callback.hpp:38
stan::math::value_of
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition value_of.hpp:18
stan::math::check_size_match
void check_size_match(const char *function, const char *name_i, T_size1 i, const char *name_j, T_size2 j)
Check if the provided sizes match.
Definition check_size_match.hpp:24
stan
The lgamma implementation in stan-math is based on either the reentrant safe lgamma_r implementation ...
Definition unit_vector_constrain.hpp:15
diag_post_multiply.hpp