arma::mat uniformization_prob2(double t, arma::mat rate){
arma::colvec the_diag=-1*rate.diag();
double mu=the_diag.max();
arma::mat A=arma::eye<arma::mat>(rate.n_cols,rate.n_cols)+rate/mu;
int s=0;
arma::mat out_sum=arma::zeros<arma::mat>(rate.n_cols,rate.n_cols);
double error=(1-exp(-mu*t));
arma::mat A_s=arma::eye<arma::mat>(rate.n_cols,rate.n_cols);
while(error>1e-9){
double mu_t=mu*t;
out_sum=out_sum+exp(-mu*t)*A_s*pow(mu_t,s)/(Rcpp::internal::factorial(s));
A_s=A_s*A;
s++;
error=error-exp(-mu*t)*pow(mu*t,s)/(Rcpp::internal::factorial(s));
}
return(out_sum);
}
//! Force a covariance matrix to be diagonal.
static void ApplyConstraint(arma::mat& covariance)
{
// Save the diagonal only.
arma::vec diagonal = covariance.diag();
covariance = arma::diagmat(diagonal);
}
double cholesky_determinant(const arma::mat& R) {
return arma::prod(square(R.diag()));
}
