solve_step()

template<typename NewtonStateT , typename LLFun , typename LLTupleArgs , typename CovarMat >

void stan::math::internal::CholeskyKSolver::solve_step ( NewtonStateT &  state, const LLFun &  ll_fun, const LLTupleArgs &  ll_args, const CovarMat &  covariance, int  hessian_block_size, std::ostream *  msgs  )

inline

Perform one Newton step using covariance Cholesky solver.

Computes the block diagonal Hessian, forms B = I + K_root^T * W * K_root, performs Cholesky factorization, and solves for the new a vector using triangular solves.

Template Parameters

NewtonStateT	Type of the Newton state
LLFun	Type of the log-likelihood functor
LLTupleArgs	Type of the likelihood arguments tuple
CovarMat	Type of the covariance matrix

Parameters

[in]	state	Shared Newton state (modified: B, b, curr().a())
[in]	ll_fun	Log-likelihood functor
[in]	ll_args	Additional arguments for the likelihood
[in]	covariance	Prior covariance matrix Sigma
[in]	hessian_block_size	Size of each Hessian block
[in,out]	msgs	Output stream for diagnostic messages (may be nullptr)

Exceptions

std::domain_error

If Cholesky factorization fails

Definition at line 752 of file laplace_marginal_density_estimator.hpp.