mdivide_left_ldlt.hpp

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#ifndef STAN_MATH_REV_FUN_MDIVIDE_LEFT_LDLT_HPP
#define STAN_MATH_REV_FUN_MDIVIDE_LEFT_LDLT_HPP
 
#include <stan/math/rev/meta.hpp>
#include <stan/math/rev/core.hpp>
#include <stan/math/rev/fun/LDLT_factor.hpp>
#include <stan/math/rev/core/typedefs.hpp>
#include <stan/math/prim/err.hpp>
#include <stan/math/prim/fun/Eigen.hpp>
#include <stan/math/prim/fun/typedefs.hpp>
#include <memory>
 
namespace stan {
namespace math {
 
template <typename T1, typename T2, require_all_matrix_t<T1, T2>* = nullptr,
          require_any_st_var<T1, T2>* = nullptr>
inline auto mdivide_left_ldlt(LDLT_factor<T1>& A, const T2& B) {
  using ret_val_type
      = Eigen::Matrix<double, Eigen::Dynamic, T2::ColsAtCompileTime>;
  using ret_type = promote_var_matrix_t<ret_val_type, T1, T2>;
 
  check_multiplicable("mdivide_left_ldlt", "A", A.matrix().val(), "B", B);
 
  if (A.matrix().size() == 0) {
    return ret_type(ret_val_type(0, B.cols()));
  }
 
  if (!is_constant<T1>::value && !is_constant<T2>::value) {
    arena_t<promote_scalar_t<var, T2>> arena_B = B;
    arena_t<promote_scalar_t<var, T1>> arena_A = A.matrix();
    arena_t<ret_type> res = A.ldlt().solve(arena_B.val());
    const auto* ldlt_ptr = make_chainable_ptr(A.ldlt());
 
    reverse_pass_callback([arena_A, arena_B, ldlt_ptr, res]() mutable {
      promote_scalar_t<double, T2> adjB = ldlt_ptr->solve(res.adj());
 
      arena_A.adj() -= adjB * res.val_op().transpose();
      arena_B.adj() += adjB;
    });
 
    return ret_type(res);
  } else if (!is_constant<T1>::value) {
    arena_t<promote_scalar_t<var, T1>> arena_A = A.matrix();
    arena_t<ret_type> res = A.ldlt().solve(value_of(B));
    const auto* ldlt_ptr = make_chainable_ptr(A.ldlt());
 
    reverse_pass_callback([arena_A, ldlt_ptr, res]() mutable {
      arena_A.adj() -= ldlt_ptr->solve(res.adj()) * res.val_op().transpose();
    });
 
    return ret_type(res);
  } else {
    arena_t<promote_scalar_t<var, T2>> arena_B = B;
    arena_t<ret_type> res = A.ldlt().solve(arena_B.val());
    const auto* ldlt_ptr = make_chainable_ptr(A.ldlt());
 
    reverse_pass_callback([arena_B, ldlt_ptr, res]() mutable {
      arena_B.adj() += ldlt_ptr->solve(res.adj());
    });
 
    return ret_type(res);
  }
}
 
}  // namespace math
}  // namespace stan
#endif