check_pos_definite.hpp

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#ifndef STAN_MATH_PRIM_ERR_CHECK_POS_DEFINITE_HPP
#define STAN_MATH_PRIM_ERR_CHECK_POS_DEFINITE_HPP
 
#include <stan/math/prim/fun/Eigen.hpp>
#include <stan/math/prim/meta.hpp>
#include <stan/math/prim/err/check_not_nan.hpp>
#include <stan/math/prim/err/throw_domain_error.hpp>
#include <stan/math/prim/err/check_symmetric.hpp>
#include <stan/math/prim/err/constraint_tolerance.hpp>
#include <stan/math/prim/err/check_positive.hpp>
#include <stan/math/prim/fun/to_ref.hpp>
#include <stan/math/prim/fun/value_of_rec.hpp>
 
namespace stan {
namespace math {
 
template <typename EigMat, require_matrix_t<EigMat>* = nullptr>
inline void check_pos_definite(const char* function, const char* name,
                               const EigMat& y) {
  const auto& y_ref = to_ref(value_of_rec(y));
  check_symmetric(function, name, y_ref);
  check_positive(function, name, "rows", y_ref.rows());
  check_not_nan(function, name, y_ref);
 
  if (y_ref.rows() == 1 && !(y_ref(0, 0) > CONSTRAINT_TOLERANCE)) {
    throw_domain_error(function, name, "is not positive definite.", "");
  }
 
  Eigen::LDLT<Eigen::MatrixXd> cholesky = value_of_rec(y_ref).ldlt();
  if (cholesky.info() != Eigen::Success || !cholesky.isPositive()
      || (cholesky.vectorD().array() <= 0.0).any()) {
    throw_domain_error(function, name, "is not positive definite.", "");
  }
}
 
template <typename Derived>
inline void check_pos_definite(const char* function, const char* name,
                               const Eigen::LDLT<Derived>& cholesky) {
  if (cholesky.info() != Eigen::Success || !cholesky.isPositive()
      || !(cholesky.vectorD().array() > 0.0).all()) {
    throw_domain_error(function, "LDLT decomposition of", " failed", name);
  }
}
 
template <typename Derived>
inline void check_pos_definite(const char* function, const char* name,
                               const Eigen::LLT<Derived>& cholesky) {
  if (cholesky.info() != Eigen::Success
      || !(cholesky.matrixLLT().diagonal().array() > 0.0).all()) {
    throw_domain_error(function, "Matrix", " is not positive definite", name);
  }
}
 
}  // namespace math
}  // namespace stan
#endif