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trace_quad_form.hpp
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#ifndef STAN_MATH_REV_MAT_FUN_TRACE_QUAD_FORM_HPP
#define STAN_MATH_REV_MAT_FUN_TRACE_QUAD_FORM_HPP
#include <boost/utility/enable_if.hpp>
#include <boost/type_traits.hpp>
#include <stan/math/rev/core.hpp>
#include <stan/math/prim/mat/fun/Eigen.hpp>
#include <stan/math/prim/mat/fun/typedefs.hpp>
#include <stan/math/rev/scal/fun/value_of.hpp>
#include <stan/math/prim/mat/fun/value_of.hpp>
#include <stan/math/rev/mat/fun/typedefs.hpp>
#include <stan/math/prim/mat/fun/trace_quad_form.hpp>
#include <stan/math/prim/mat/err/check_multiplicable.hpp>
#include <stan/math/prim/mat/err/check_square.hpp>
namespace stan {
namespace math {
namespace {
template <typename TA, int RA, int CA, typename TB, int RB, int CB>
class trace_quad_form_vari_alloc : public chainable_alloc {
public:
trace_quad_form_vari_alloc(const Eigen::Matrix<TA, RA, CA>& A,
const Eigen::Matrix<TB, RB, CB>& B)
: A_(A), B_(B)
{ }
double compute() {
using stan::math::value_of;
return stan::math::trace_quad_form(value_of(A_),
value_of(B_));
}
Eigen::Matrix<TA, RA, CA> A_;
Eigen::Matrix<TB, RB, CB> B_;
};
template <typename TA, int RA, int CA, typename TB, int RB, int CB>
class trace_quad_form_vari : public vari {
protected:
static inline void chainA(Eigen::Matrix<double, RA, CA>& A,
const Eigen::Matrix<double, RB, CB>& Bd,
const double& adjC) {}
static inline void chainB(Eigen::Matrix<double, RB, CB>& B,
const Eigen::Matrix<double, RA, CA>& Ad,
const Eigen::Matrix<double, RB, CB>& Bd,
const double& adjC) {}
static inline void chainA(Eigen::Matrix<var, RA, CA>& A,
const Eigen::Matrix<double, RB, CB>& Bd,
const double& adjC) {
Eigen::Matrix<double, RA, CA> adjA(adjC*Bd*Bd.transpose());
for (int j = 0; j < A.cols(); j++)
for (int i = 0; i < A.rows(); i++)
A(i, j).vi_->adj_ += adjA(i, j);
}
static inline void chainB(Eigen::Matrix<var, RB, CB>& B,
const Eigen::Matrix<double, RA, CA>& Ad,
const Eigen::Matrix<double, RB, CB>& Bd,
const double& adjC) {
Eigen::Matrix<double, RA, CA> adjB(adjC*(Ad + Ad.transpose())*Bd);
for (int j = 0; j < B.cols(); j++)
for (int i = 0; i < B.rows(); i++)
B(i, j).vi_->adj_ += adjB(i, j);
}
inline void chainAB(Eigen::Matrix<TA, RA, CA>& A,
Eigen::Matrix<TB, RB, CB>& B,
const Eigen::Matrix<double, RA, CA>& Ad,
const Eigen::Matrix<double, RB, CB>& Bd,
const double& adjC) {
chainA(A, Bd, adjC);
chainB(B, Ad, Bd, adjC);
}
public:
explicit
trace_quad_form_vari
(trace_quad_form_vari_alloc<TA, RA, CA, TB, RB, CB> *impl)
: vari(impl->compute()), _impl(impl) { }
virtual void chain() {
using stan::math::value_of;
chainAB(_impl->A_, _impl->B_,
value_of(_impl->A_), value_of(_impl->B_),
adj_);
}
trace_quad_form_vari_alloc<TA, RA, CA, TB, RB, CB> *_impl;
};
}
template <typename TA, int RA, int CA, typename TB, int RB, int CB>
inline typename
boost::enable_if_c< boost::is_same<TA, var>::value ||
boost::is_same<TB, var>::value,
var >::type
trace_quad_form(const Eigen::Matrix<TA, RA, CA>& A,
const Eigen::Matrix<TB, RB, CB>& B) {
stan::math::check_square("trace_quad_form", "A", A);
stan::math::check_multiplicable("trace_quad_form",
"A", A,
"B", B);
trace_quad_form_vari_alloc<TA, RA, CA, TB, RB, CB> *baseVari
= new trace_quad_form_vari_alloc<TA, RA, CA, TB, RB, CB>(A, B);
return var(new trace_quad_form_vari<TA, RA, CA, TB, RB, CB>(baseVari));
}
}
}
#endif
core.hpp
check_multiplicable.hpp
stan::math::trace_quad_form
fvar< T > trace_quad_form(const Eigen::Matrix< fvar< T >, RA, CA > &A, const Eigen::Matrix< fvar< T >, RB, CB > &B)
Definition: trace_quad_form.hpp:18
stan::math::value_of
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition: value_of.hpp:16
stan::math::var
Independent (input) and dependent (output) variables for gradients.
Definition: var.hpp:32
A_
Eigen::Matrix< TA, RA, CA > A_
Definition: trace_quad_form.hpp:33
typedefs.hpp
stan::math::check_multiplicable
bool check_multiplicable(const char *function, const char *name1, const T1 &y1, const char *name2, const T2 &y2)
Return true if the matrices can be multiplied.
Definition: check_multiplicable.hpp:33
trace_quad_form.hpp
B_
Eigen::Matrix< TB, RB, CB > B_
Definition: trace_quad_form.hpp:34
Eigen.hpp
_impl
trace_quad_form_vari_alloc< TA, RA, CA, TB, RB, CB > * _impl
Definition: trace_quad_form.hpp:89
value_of.hpp
stan::math::check_square
bool check_square(const char *function, const char *name, const Eigen::Matrix< T_y, Eigen::Dynamic, Eigen::Dynamic > &y)
Return true if the specified matrix is square.
Definition: check_square.hpp:28
value_of.hpp
typedefs.hpp
check_square.hpp

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