1#ifndef STAN_MATH_PRIM_CONSTRAINT_CHOLESKY_CORR_CONSTRAIN_HPP
2#define STAN_MATH_PRIM_CONSTRAINT_CHOLESKY_CORR_CONSTRAIN_HPP
15template <
typename EigVec, require_eigen_col_vector_t<EigVec>* =
nullptr>
16inline Eigen::Matrix<value_type_t<EigVec>, Eigen::Dynamic, Eigen::Dynamic>
22 int k_choose_2 = (K * (K - 1)) / 2;
24 "k_choose_2", k_choose_2);
26 Matrix<T_scalar, Dynamic, Dynamic> x(K, K);
33 for (
int i = 1; i < K; ++i) {
34 x.coeffRef(i, 0) = z.coeff(k++);
35 T_scalar sum_sqs =
square(x.coeff(i, 0));
36 for (
int j = 1; j < i; ++j) {
37 x.coeffRef(i, j) = z.coeff(k++) *
sqrt(1.0 - sum_sqs);
38 sum_sqs +=
square(x.coeff(i, j));
40 x.coeffRef(i, i) =
sqrt(1.0 - sum_sqs);
46template <
typename EigVec,
typename Lp,
49inline Eigen::Matrix<value_type_t<EigVec>, Eigen::Dynamic, Eigen::Dynamic>
55 int k_choose_2 = (K * (K - 1)) / 2;
57 "k_choose_2", k_choose_2);
59 Matrix<T_scalar, Dynamic, Dynamic> x(K, K);
66 for (
int i = 1; i < K; ++i) {
67 x.coeffRef(i, 0) = z.coeff(k++);
68 T_scalar sum_sqs =
square(x.coeff(i, 0));
69 for (
int j = 1; j < i; ++j) {
70 lp += 0.5 *
log1m(sum_sqs);
71 x.coeffRef(i, j) = z.coeff(k++) *
sqrt(1.0 - sum_sqs);
72 sum_sqs +=
square(x.coeff(i, j));
74 x.coeffRef(i, i) =
sqrt(1.0 - sum_sqs);
89template <
typename T, require_std_vector_t<T>* =
nullptr>
108template <
typename T,
typename Lp, require_std_vector_t<T>* =
nullptr,
109 require_convertible_t<return_type_t<T>, Lp>* =
nullptr>
133template <
bool Jacobian,
typename T,
typename Lp,
136 if constexpr (Jacobian) {
require_t< std::is_convertible< std::decay_t< T >, std::decay_t< S > > > require_convertible_t
Require types T and S satisfies std::is_convertible.
require_t< is_eigen_vector< std::decay_t< T > > > require_eigen_vector_t
Require type satisfies is_eigen_vector.
typename value_type< T >::type value_type_t
Helper function for accessing underlying type.
fvar< T > sqrt(const fvar< T > &x)
Eigen::Matrix< value_type_t< EigVec >, Eigen::Dynamic, Eigen::Dynamic > cholesky_corr_constrain(const EigVec &y, int K)
plain_type_t< T > corr_constrain(const T &x)
Return the result of transforming the specified scalar or container of values to have a valid correla...
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.
fvar< T > log1m(const fvar< T > &x)
fvar< T > square(const fvar< T > &x)
The lgamma implementation in stan-math is based on either the reentrant safe lgamma_r implementation ...