gp_dot_prod_cov.hpp

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#ifndef STAN_MATH_PRIM_FUN_COV_DOT_PROD_HPP
#define STAN_MATH_PRIM_FUN_COV_DOT_PROD_HPP
 
#include <stan/math/prim/meta.hpp>
#include <stan/math/prim/err.hpp>
#include <stan/math/prim/fun/Eigen.hpp>
#include <stan/math/prim/fun/dot_product.hpp>
#include <stan/math/prim/fun/dot_self.hpp>
#include <stan/math/prim/fun/square.hpp>
#include <vector>
 
namespace stan {
namespace math {
 
template <typename T_x, typename T_sigma>
Eigen::Matrix<return_type_t<T_x, T_sigma>, Eigen::Dynamic, Eigen::Dynamic>
gp_dot_prod_cov(const std::vector<Eigen::Matrix<T_x, Eigen::Dynamic, 1>> &x,
                const T_sigma &sigma) {
  check_not_nan("gp_dot_prod_cov", "sigma", sigma);
  check_nonnegative("gp_dot_prod_cov", "sigma", sigma);
  check_finite("gp_dot_prod_cov", "sigma", sigma);
 
  size_t x_size = x.size();
  for (size_t i = 0; i < x_size; ++i) {
    check_not_nan("gp_dot_prod_cov", "x", x[i]);
    check_finite("gp_dot_prod_cov", "x", x[i]);
  }
 
  Eigen::Matrix<return_type_t<T_x, T_sigma>, Eigen::Dynamic, Eigen::Dynamic>
      cov(x_size, x_size);
  if (x_size == 0) {
    return cov;
  }
 
  T_sigma sigma_sq = square(sigma);
  size_t block_size = 10;
 
  for (size_t jb = 0; jb < x_size; jb += block_size) {
    for (size_t ib = jb; ib < x_size; ib += block_size) {
      size_t j_end = std::min(x_size, jb + block_size);
      for (size_t j = jb; j < j_end; ++j) {
        cov.coeffRef(j, j) = sigma_sq + dot_self(x[j]);
        size_t i_end = std::min(x_size, ib + block_size);
        for (size_t i = std::max(ib, j + 1); i < i_end; ++i) {
          cov.coeffRef(j, i) = cov.coeffRef(i, j)
              = sigma_sq + dot_product(x[i], x[j]);
        }
      }
    }
  }
  cov.coeffRef(x_size - 1, x_size - 1) = sigma_sq + dot_self(x[x_size - 1]);
  return cov;
}
 
template <typename T_x, typename T_sigma>
Eigen::Matrix<return_type_t<T_x, T_sigma>, Eigen::Dynamic, Eigen::Dynamic>
gp_dot_prod_cov(const std::vector<T_x> &x, const T_sigma &sigma) {
  check_nonnegative("gp_dot_prod_cov", "sigma", sigma);
  check_finite("gp_dot_prod_cov", "sigma", sigma);
 
  size_t x_size = x.size();
  check_finite("gp_dot_prod_cov", "x", x);
 
  Eigen::Matrix<return_type_t<T_x, T_sigma>, Eigen::Dynamic, Eigen::Dynamic>
      cov(x_size, x_size);
  if (x_size == 0) {
    return cov;
  }
 
  T_sigma sigma_sq = square(sigma);
  size_t block_size = 10;
 
  for (size_t jb = 0; jb < x_size; jb += block_size) {
    for (size_t ib = jb; ib < x_size; ib += block_size) {
      size_t j_end = std::min(x_size, jb + block_size);
      for (size_t j = jb; j < j_end; ++j) {
        cov.coeffRef(j, j) = sigma_sq + x[j] * x[j];
        size_t i_end = std::min(x_size, ib + block_size);
        for (size_t i = std::max(ib, j + 1); i < i_end; ++i) {
          cov.coeffRef(j, i) = cov.coeffRef(i, j) = sigma_sq + x[i] * x[j];
        }
      }
    }
  }
  cov(x_size - 1, x_size - 1) = sigma_sq + x[x_size - 1] * x[x_size - 1];
  return cov;
}
 
template <typename T_x1, typename T_x2, typename T_sigma>
Eigen::Matrix<return_type_t<T_x1, T_x2, T_sigma>, Eigen::Dynamic,
              Eigen::Dynamic>
gp_dot_prod_cov(const std::vector<Eigen::Matrix<T_x1, Eigen::Dynamic, 1>> &x1,
                const std::vector<Eigen::Matrix<T_x2, Eigen::Dynamic, 1>> &x2,
                const T_sigma &sigma) {
  check_nonnegative("gp_dot_prod_cov", "sigma", sigma);
  check_finite("gp_dot_prod_cov", "sigma", sigma);
 
  size_t x1_size = x1.size();
  size_t x2_size = x2.size();
  for (size_t i = 0; i < x1_size; ++i) {
    check_finite("gp_dot_prod_cov", "x1", x1[i]);
  }
  for (size_t i = 0; i < x2_size; ++i) {
    check_finite("gp_dot_prod_cov", "x2", x2[i]);
  }
  Eigen::Matrix<return_type_t<T_x1, T_x2, T_sigma>, Eigen::Dynamic,
                Eigen::Dynamic>
      cov(x1_size, x2_size);
 
  if (x1_size == 0 || x2_size == 0) {
    return cov;
  }
 
  T_sigma sigma_sq = square(sigma);
  size_t block_size = 10;
 
  for (size_t ib = 0; ib < x1_size; ib += block_size) {
    for (size_t jb = 0; jb < x2_size; jb += block_size) {
      size_t j_end = std::min(x2_size, jb + block_size);
      for (size_t j = jb; j < j_end; ++j) {
        size_t i_end = std::min(x1_size, ib + block_size);
        for (size_t i = ib; i < i_end; ++i) {
          cov(i, j) = sigma_sq + dot_product(x1[i], x2[j]);
        }
      }
    }
  }
  return cov;
}
 
template <typename T_x1, typename T_x2, typename T_sigma>
Eigen::Matrix<return_type_t<T_x1, T_x2, T_sigma>, Eigen::Dynamic,
              Eigen::Dynamic>
gp_dot_prod_cov(const std::vector<T_x1> &x1, const std::vector<T_x2> &x2,
                const T_sigma &sigma) {
  check_nonnegative("gp_dot_prod_cov", "sigma", sigma);
  check_finite("gp_dot_prod_cov", "sigma", sigma);
 
  size_t x1_size = x1.size();
  size_t x2_size = x2.size();
  check_finite("gp_dot_prod_cov", "x1", x1);
  check_finite("gp_dot_prod_cov", "x2", x2);
 
  Eigen::Matrix<return_type_t<T_x1, T_x2, T_sigma>, Eigen::Dynamic,
                Eigen::Dynamic>
      cov(x1_size, x2_size);
 
  if (x1_size == 0 || x2_size == 0) {
    return cov;
  }
 
  T_sigma sigma_sq = square(sigma);
 
  for (size_t i = 0; i < x1_size; ++i) {
    for (size_t j = 0; j < x2_size; ++j) {
      cov(i, j) = sigma_sq + x1[i] * x2[j];
    }
  }
  return cov;
}
 
}  // namespace math
}  // namespace stan
 
#endif