singular_values.hpp

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#ifndef STAN_MATH_REV_FUN_SINGULAR_VALUES_HPP
#define STAN_MATH_REV_FUN_SINGULAR_VALUES_HPP
 
#include <stan/math/prim/fun/Eigen.hpp>
#include <stan/math/prim/err/check_nonzero_size.hpp>
#include <stan/math/rev/meta.hpp>
#include <stan/math/rev/core.hpp>
 
namespace stan {
namespace math {
 
template <typename EigMat, require_rev_matrix_t<EigMat>* = nullptr>
inline auto singular_values(const EigMat& m) {
  using ret_type = return_var_matrix_t<Eigen::VectorXd, EigMat>;
  if (unlikely(m.size() == 0)) {
    return ret_type(Eigen::VectorXd(0));
  }
 
  auto arena_m = to_arena(m);
 
  Eigen::JacobiSVD<Eigen::MatrixXd> svd(
      arena_m.val(), Eigen::ComputeThinU | Eigen::ComputeThinV);
 
  arena_t<ret_type> singular_values = svd.singularValues();
 
  auto arena_U = to_arena(svd.matrixU());
  auto arena_V = to_arena(svd.matrixV());
 
  reverse_pass_callback([arena_m, arena_U, singular_values, arena_V]() mutable {
    arena_m.adj()
        += arena_U * singular_values.adj().asDiagonal() * arena_V.transpose();
  });
 
  return ret_type(singular_values);
}
 
}  // namespace math
}  // namespace stan
 
#endif