cholesky_factor_constrain.hpp

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#ifndef STAN_MATH_PRIM_CONSTRAINT_CHOLESKY_FACTOR_CONSTRAIN_HPP
#define STAN_MATH_PRIM_CONSTRAINT_CHOLESKY_FACTOR_CONSTRAIN_HPP
 
#include <stan/math/prim/err.hpp>
#include <stan/math/prim/fun/Eigen.hpp>
#include <stan/math/prim/fun/exp.hpp>
#include <stan/math/prim/fun/sum.hpp>
#include <stan/math/prim/fun/to_ref.hpp>
#include <cmath>
#include <stdexcept>
#include <vector>
 
namespace stan {
namespace math {
 
template <typename T, require_eigen_col_vector_t<T>* = nullptr>
inline Eigen::Matrix<value_type_t<T>, Eigen::Dynamic, Eigen::Dynamic>
cholesky_factor_constrain(const T& x, int M, int N) {
  using std::exp;
  using T_scalar = value_type_t<T>;
  check_greater_or_equal("cholesky_factor_constrain",
                         "num rows (must be greater or equal to num cols)", M,
                         N);
  check_size_match("cholesky_factor_constrain", "constrain size", x.size(),
                   "((N * (N + 1)) / 2 + (M - N) * N)",
                   ((N * (N + 1)) / 2 + (M - N) * N));
  Eigen::Matrix<T_scalar, Eigen::Dynamic, Eigen::Dynamic> y(M, N);
  int pos = 0;
 
  const auto& x_ref = to_ref(x);
  for (int m = 0; m < N; ++m) {
    y.row(m).head(m) = x_ref.segment(pos, m);
    pos += m;
    y.coeffRef(m, m) = exp(x_ref.coeff(pos++));
    y.row(m).tail(N - m - 1).setZero();
  }
 
  for (int m = N; m < M; ++m) {
    y.row(m) = x_ref.segment(pos, N);
    pos += N;
  }
  return y;
}
 
template <typename T, typename Lp, require_eigen_vector_t<T>* = nullptr,
          require_convertible_t<return_type_t<T>, Lp>* = nullptr>
inline Eigen::Matrix<value_type_t<T>, Eigen::Dynamic, Eigen::Dynamic>
cholesky_factor_constrain(const T& x, int M, int N, Lp& lp) {
  check_size_match("cholesky_factor_constrain", "x.size()", x.size(),
                   "((N * (N + 1)) / 2 + (M - N) * N)",
                   ((N * (N + 1)) / 2 + (M - N) * N));
  int pos = 0;
  const auto& x_ref = to_ref(x);
  for (int n = 0; n < N; ++n) {
    pos += n;
    lp += x_ref.coeff(pos++);
  }
  return cholesky_factor_constrain(x_ref, M, N);
}
 
template <typename T, require_std_vector_t<T>* = nullptr>
inline auto cholesky_factor_constrain(const T& x, int M, int N) {
  return apply_vector_unary<T>::apply(
      x, [M, N](auto&& v) { return cholesky_factor_constrain(v, M, N); });
}
 
template <typename T, typename Lp, require_std_vector_t<T>* = nullptr,
          require_convertible_t<return_type_t<T>, Lp>* = nullptr>
inline auto cholesky_factor_constrain(const T& x, int M, int N, Lp& lp) {
  return apply_vector_unary<T>::apply(x, [&lp, M, N](auto&& v) {
    return cholesky_factor_constrain(v, M, N, lp);
  });
}
 
template <bool Jacobian, typename T, typename Lp,
          require_convertible_t<return_type_t<T>, Lp>* = nullptr>
inline auto cholesky_factor_constrain(const T& x, int M, int N, Lp& lp) {
  if constexpr (Jacobian) {
    return cholesky_factor_constrain(x, M, N, lp);
  } else {
    return cholesky_factor_constrain(x, M, N);
  }
}
 
}  // namespace math
}  // namespace stan
 
#endif