typename return_type<T_y, T_loc, T_covar>::type
multi_normal_cholesky_log(const T_y& y,
const T_loc& mu,
const T_covar& L) {
static const char* function("multi_normal_cholesky_log");
typedef typename scalar_type<T_covar>::type T_covar_elem;
typedef typename return_type<T_y, T_loc, T_covar>::type lp_type;
lp_type lp(0.0);
VectorViewMvt<const T_y> y_vec(y);
VectorViewMvt<const T_loc> mu_vec(mu);
size_t size_vec = max_size_mvt(y, mu);
int size_y = y_vec[0].size();
int size_mu = mu_vec[0].size();
if (size_vec > 1) {
int size_y_old = size_y;
int size_y_new;
for (size_t i = 1, size_ = length_mvt(y); i < size_; i++) {
int size_y_new = y_vec[i].size();
check_size_match(function,
"Size of one of the vectors of "
"the random variable", size_y_new,
"Size of another vector of the "
"random variable", size_y_old);
size_y_old = size_y_new;
}
int size_mu_old = size_mu;
int size_mu_new;
for (size_t i = 1, size_ = length_mvt(mu); i < size_; i++) {
int size_mu_new = mu_vec[i].size();
check_size_match(function,
"Size of one of the vectors of "
"the location variable", size_mu_new,
"Size of another vector of the "
"location variable", size_mu_old);
size_mu_old = size_mu_new;
}
(void) size_y_old;
(void) size_y_new;
(void) size_mu_old;
(void) size_mu_new;
}
check_size_match(function,
"Size of random variable", size_y,
"size of location parameter", size_mu);
check_size_match(function,
"Size of random variable", size_y,
"rows of covariance parameter", L.rows());
check_size_match(function,
"Size of random variable", size_y,
"columns of covariance parameter", L.cols());
for (size_t i = 0; i < size_vec; i++) {
check_finite(function, "Location parameter", mu_vec[i]);
check_not_nan(function, "Random variable", y_vec[i]);
}
if (size_y == 0)
return lp;
if (include_summand<propto>::value)
lp += NEG_LOG_SQRT_TWO_PI * size_y * size_vec;
if (include_summand<propto, T_covar_elem>::value)
lp -= L.diagonal().array().log().sum() * size_vec;
if (include_summand<propto, T_y, T_loc, T_covar_elem>::value) {
lp_type sum_lp_vec(0.0);
for (size_t i = 0; i < size_vec; i++) {
Eigen::Matrix<typename return_type<T_y, T_loc>::type,
Eigen::Dynamic, 1> y_minus_mu(size_y);
for (int j = 0; j < size_y; j++)
y_minus_mu(j) = y_vec[i](j)-mu_vec[i](j);
Eigen::Matrix<typename return_type<T_y, T_loc, T_covar>::type,
Eigen::Dynamic, 1>
half(mdivide_left_tri_low(L, y_minus_mu));
// FIXME: this code does not compile. revert after fixing subtract()
// Eigen::Matrix<typename
// boost::math::tools::promote_args<T_covar,
// typename value_type<T_loc>::type,
// typename value_type<T_y>::type>::type>::type,
// Eigen::Dynamic, 1>
// half(mdivide_left_tri_low(L, subtract(y, mu)));
sum_lp_vec += dot_self(half);
}
lp -= 0.5*sum_lp_vec;
}
return lp;
}
typename return_type<T_y, T_loc, T_covar>::type
multi_normal_log(const T_y& y,
const T_loc& mu,
const T_covar& Sigma) {
static const char* function("stan::math::multi_normal_log");
typedef typename scalar_type<T_covar>::type T_covar_elem;
typedef typename return_type<T_y, T_loc, T_covar>::type lp_type;
lp_type lp(0.0);
using stan::math::check_size_match;
using stan::math::check_finite;
using stan::math::check_not_nan;
using stan::math::check_positive;
using stan::math::check_symmetric;
using stan::math::check_ldlt_factor;
check_positive(function, "Covariance matrix rows", Sigma.rows());
check_symmetric(function, "Covariance matrix", Sigma);
stan::math::LDLT_factor<T_covar_elem, Dynamic, Dynamic> ldlt_Sigma(Sigma);
check_ldlt_factor(function,
"LDLT_Factor of covariance parameter", ldlt_Sigma);
VectorViewMvt<const T_y> y_vec(y);
VectorViewMvt<const T_loc> mu_vec(mu);
// size of std::vector of Eigen vectors
size_t size_vec = max_size_mvt(y, mu);
// Check if every vector of the array has the same size
int size_y = y_vec[0].size();
int size_mu = mu_vec[0].size();
if (size_vec > 1) {
int size_y_old = size_y;
int size_y_new;
for (size_t i = 1, size_ = length_mvt(y); i < size_; i++) {
int size_y_new = y_vec[i].size();
check_size_match(function,
"Size of one of the vectors of "
"the random variable", size_y_new,
"Size of another vector of the "
"random variable", size_y_old);
size_y_old = size_y_new;
}
int size_mu_old = size_mu;
int size_mu_new;
for (size_t i = 1, size_ = length_mvt(mu); i < size_; i++) {
int size_mu_new = mu_vec[i].size();
check_size_match(function,
"Size of one of the vectors of "
"the location variable", size_mu_new,
"Size of another vector of the "
"location variable", size_mu_old);
size_mu_old = size_mu_new;
}
(void) size_y_old;
(void) size_y_new;
(void) size_mu_old;
(void) size_mu_new;
}
check_size_match(function,
"Size of random variable", size_y,
"size of location parameter", size_mu);
check_size_match(function,
"Size of random variable", size_y,
"rows of covariance parameter", Sigma.rows());
check_size_match(function,
"Size of random variable", size_y,
"columns of covariance parameter", Sigma.cols());
for (size_t i = 0; i < size_vec; i++) {
check_finite(function, "Location parameter", mu_vec[i]);
check_not_nan(function, "Random variable", y_vec[i]);
}
if (size_y == 0) // y_vec[0].size() == 0
return lp;
if (include_summand<propto>::value)
lp += NEG_LOG_SQRT_TWO_PI * size_y * size_vec;
if (include_summand<propto, T_covar_elem>::value)
lp -= 0.5 * log_determinant_ldlt(ldlt_Sigma) * size_vec;
if (include_summand<propto, T_y, T_loc, T_covar_elem>::value) {
lp_type sum_lp_vec(0.0);
for (size_t i = 0; i < size_vec; i++) {
Eigen::Matrix<typename return_type<T_y, T_loc>::type, Dynamic, 1>
y_minus_mu(size_y);
for (int j = 0; j < size_y; j++)
y_minus_mu(j) = y_vec[i](j)-mu_vec[i](j);
sum_lp_vec += trace_inv_quad_form_ldlt(ldlt_Sigma, y_minus_mu);
}
lp -= 0.5*sum_lp_vec;
}
return lp;
}