diag_pre_multiply.hpp

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#ifndef STAN_MATH_REV_FUN_DIAG_PRE_MULTIPLY_HPP
#define STAN_MATH_REV_FUN_DIAG_PRE_MULTIPLY_HPP
 
#include <stan/math/prim/fun/Eigen.hpp>
#include <stan/math/prim/err.hpp>
#include <stan/math/rev/core.hpp>
 
namespace stan {
namespace math {
 
template <typename T1, typename T2, require_vector_t<T1>* = nullptr,
          require_matrix_t<T2>* = nullptr,
          require_any_st_var<T1, T2>* = nullptr>
auto diag_pre_multiply(const T1& m1, const T2& m2) {
  check_size_match("diag_pre_multiply", "m1.size()", m1.size(), "m2.rows()",
                   m2.rows());
  using inner_ret_type = decltype(value_of(m1).asDiagonal() * value_of(m2));
  using ret_type = return_var_matrix_t<inner_ret_type, T1, T2>;
  if (!is_constant<T1>::value && !is_constant<T2>::value) {
    arena_t<promote_scalar_t<var, T1>> arena_m1 = m1;
    arena_t<promote_scalar_t<var, T2>> arena_m2 = m2;
    arena_t<ret_type> ret(arena_m1.val().asDiagonal() * arena_m2.val());
    reverse_pass_callback([ret, arena_m1, arena_m2]() mutable {
      arena_m1.adj() += arena_m2.val().cwiseProduct(ret.adj()).rowwise().sum();
      arena_m2.adj() += arena_m1.val().asDiagonal() * ret.adj();
    });
    return ret_type(ret);
  } else if (!is_constant<T1>::value) {
    arena_t<promote_scalar_t<var, T1>> arena_m1 = m1;
    arena_t<promote_scalar_t<double, T2>> arena_m2 = value_of(m2);
    arena_t<ret_type> ret(arena_m1.val().asDiagonal() * arena_m2);
    reverse_pass_callback([ret, arena_m1, arena_m2]() mutable {
      arena_m1.adj() += arena_m2.val().cwiseProduct(ret.adj()).rowwise().sum();
    });
    return ret_type(ret);
  } else if (!is_constant<T2>::value) {
    arena_t<promote_scalar_t<double, T1>> arena_m1 = value_of(m1);
    arena_t<promote_scalar_t<var, T2>> arena_m2 = m2;
    arena_t<ret_type> ret(arena_m1.asDiagonal() * arena_m2.val());
    reverse_pass_callback([ret, arena_m1, arena_m2]() mutable {
      arena_m2.adj() += arena_m1.val().asDiagonal() * ret.adj();
    });
    return ret_type(ret);
  }
}
 
}  // namespace math
}  // namespace stan
 
#endif