Complex Numbers

Stan supports complex scalars, matrices, and vectors as well as real-based ones.

Working with complex numbers

This section describes the complex scalar type, including how to build complex numbers, assign them, and use them in arrays and functions.

Constructing and accessing complex numbers

Complex numbers can be constructed using imaginary literals. For example,

complex z = -1.1 + 2.3i;

produces the complex number \(-1.1 + 2.3i\). This only works if the real and imaginary components are literal numerals. To construct a complex number out of arbitrary real variables, the to_complex() function may be used. For example, the following code will work if x and y are parameters, transformed data, or local variables in a function or model block.

real x = // ...
real y = // ...
complex z = to_complex(x, y);

The real and imaginary parts of the complex number can be accessed with getters as follows.

real x = get_real(z);  // x = -1.1
real y = get_imag(z);  // y = 2.3

Complex numbers can be compared using equality (or inequality), but not with greater than or less than operators. For example, after running the code above, the following code snippet will print “hello”.

complex a = 3.2 + 2i;
complex b = to_complex(3.2, 2);
if (a == b) print("hello");

Complex assignment and promotion

Integer- or real-valued expressions may be assigned to complex numbers, with the corresponding imaginary component set to zero.

complex z1 = 3;  // int promoted to 3 + 0i
complex z2 = 3.2;  // real promoted to 3.2 + 0.i

Complex arrays

Arrays of complex numbers work as usual and allow the usual curly bracket constructors.

complex z1;  complex z2;  complex z3;
// ...
array[3] complex zs = { z1, z2, z3 };
for (z in zs) {

Complex arrays allow assignment into their elements, with integer or real assigned values being promoted to complex.

Complex functions

All of the standard complex functions are available, including natural logarithm log(z), natural exponentiation exp(z), and powers pow(z1, z2), as well as all of the trig and hyperbolic trigonometric functions and their inverse, such as sin(z), acos(z), tanh(z) and asinh(z).

Promotion also works for complex-valued function arguments, which may be passed integer or real values, which will be promoted before the function is evaluated. For example, the following user-defined complex function will accept integer, real, or complex arguments.

complex times_i(complex z) {
  complex i = to_complex(0, 1);
  return i * z;

For instance, times_i(1) evaluates to the imaginary base \(i\), as does times_i(1.0).

Complex random variables

The simplest way to model a distribution over a complex random number \(z = x + yi\) is to consider its real part \(x\) and imaginary part \(y\) to have a bivariate normal distribution. For example, a complex prior can be expressed as follows.

complex z;
vector[2] mu;
cholesky_cov[2] L_Sigma;
// ...
[get_real(z), get_imag(z)]' ~ multi_normal_cholesky(mu, L_Sigma);

For example, if z is data, this can be used to estimate mu and the covariance Cholesky factor L_Sigma. Alternatively, if z is a parameter, mu and L_Sigma may constants defining a prior or further parameters defining a hierarchical model.

Complex matrices and vectors

Stan supports complex matrices, vectors, and row vectors. Variables of these types are declared with sizes in the same way as their real-based counterparts.

complex_vector[3] v;
complex_row_vector[2] rv;
complex_matrix[3, 2] m;

We can construct vectors and matrices using brackets in the same way as for real-valued vectors and matrices. For example, given the declaration of rv above, we could assign it to a constructed row vector.

rv =  [2 + 3i, 1.9 - 2.3i];

Complex matrices and vectors support all of the standard arithetmic operations including negation, addition, subtraction, and multiplication (division involves a solve, and isn’t a simple arithmetic operation for matrices). They also support transposition.

Furthermore, it is possible to convert back and forth between arrays and matrices using the to_array functions.

Complex linear regression

Complex valued linear regression with complex predictors and regression coefficients looks just like standard regression. For example, if we take x to be predictors, y to be an array of outcomes. For example, consider the following complete Stan program for an intercept and slope.

data {
  int<lower=0> N;
  complex_vector[N] x;
  complex_vector[N] y;
parameters {
  complex alpha;
  complex beta;
model {
  complex_vector[N] eps = y - (alpha + beta * x);
  eps ~  // ...error distribution...

The question remains of how to fill in the error distribution and there are several alternatives. We consider only two simple alternatives, and do not consider penalizing the absolute value of the error.

Independent real and imaginary error

The simplest approach to error in complex regression is to give the real and imaginary parts of eps_n independent independent normal distributions, as follows.

parameters {
  // ...
  vector[2] sigma;
// ...
model {
  // ...
  get_real(eps) ~ normal(0, sigma[1]);
  get_imag(eps) ~ normal(0, sigma[2]);
  sigma ~ //...hyperprior...

A new error scale vector sigma is introduced, and it should itself get a prior based on the expected scale of error for the problem.

Dependent complex error

The next simplest approach is to treat the real and imaginary parts of the complex number as having a multivariate normal prior. This can be done by adding a parameter for correlation to the above, or just working with a multivariate covariance matrix, as we do here.

parameters {
  cholesky_factor_corr[2] L_Omega;  // correlation matrix
  vector[2] sigma;                  // real, imag error scales
  // ...
// ...
model {
  array[N] vector[2] eps_arr;
  for (n in 1:N) {
    eps_arr[n] = { to_real(eps[n]), to_imag(eps[n]) };
  eps_arr ~ multi_normal_cholesky([0, 0]',
                                  diag_pre_multiply(sigma, L_Omega));
  L_Omega ~ lkj_cholesky(4);  // shrink toward diagonal correlation
  sigma ~ // ... hyperprior ...

Here, the real and imaginary components of the error get a joint distribution with correlation and independent scales. The error gets a multivariate normal distribution with zero mean and a Cholesky factor representation of covariance, consisting of a scale vector sigma and a Cholesky factor or a correlation matrix, L_Omega. The prior on the correlations is concentrated loosely around diagonal covariance, and the prior on the scales is left open. In order to vectorize the call to multi_normal_cholesky, the vector of complex numbers needs to be converted to an array of size 2 vectors.

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