inline bool check_corr_matrix(const char* function,
const Eigen::Matrix<T_y,Eigen::Dynamic,Eigen::Dynamic>& y,
const char* name,
T_result* result,
const Policy&) {
if (!check_size_match(function,
y.rows(), "Rows of correlation matrix",
y.cols(), "columns of correlation matrix",
result, Policy()))
return false;
if (!check_positive(function, y.rows(), "rows", result, Policy()))
return false;
if (!check_symmetric(function, y, "y", result, Policy()))
return false;
for (typename Eigen::Matrix<T_y,Eigen::Dynamic,Eigen::Dynamic>::size_type
k = 0; k < y.rows(); ++k) {
if (fabs(y(k,k) - 1.0) > CONSTRAINT_TOLERANCE) {
std::ostringstream message;
message << name << " is not a valid correlation matrix. "
<< name << "(" << k << "," << k
<< ") is %1%, but should be near 1.0";
T_result tmp
= policies::raise_domain_error<T_y>(function,
message.str().c_str(),
y(k,k), Policy());
if (result != 0)
*result = tmp;
return false;
}
}
if (!check_pos_definite(function, y, "y", result, Policy()))
return false;
return true;
}
inline bool check_cov_matrix(const std::string& function,
const std::string& name,
const Eigen::Matrix<T_y,Eigen::Dynamic,Eigen::Dynamic>& y) {
check_size_match(function,
"Rows of covariance matrix", y.rows(),
"columns of covariance matrix", y.cols());
check_positive(function, "rows", y.rows());
check_symmetric(function, name, y);
check_pos_definite(function, name, y);
return true;
}
inline bool check_cov_matrix(const char* function,
const Eigen::Matrix<T_y,Eigen::Dynamic,Eigen::Dynamic>& y,
const char* name,
T_result* result) {
check_size_match(function,
y.rows(), "Rows of covariance matrix",
y.cols(), "columns of covariance matrix",
result);
check_positive(function, y.rows(), "rows", result);
check_symmetric(function, y, name, result);
check_pos_definite(function, y, name, result);
return true;
}
typename boost::math::tools::promote_args<T_y, T_covar, T_w>::type
multi_gp_log(const Eigen::Matrix<T_y, Eigen::Dynamic, Eigen::Dynamic>& y,
const Eigen::Matrix
<T_covar, Eigen::Dynamic, Eigen::Dynamic>& Sigma,
const Eigen::Matrix<T_w, Eigen::Dynamic, 1>& w) {
static const char* function("multi_gp_log");
typedef typename boost::math::tools::promote_args<T_y, T_covar, T_w>::type
T_lp;
T_lp lp(0.0);
check_positive(function, "Kernel rows", Sigma.rows());
check_finite(function, "Kernel", Sigma);
check_symmetric(function, "Kernel", Sigma);
LDLT_factor<T_covar, Eigen::Dynamic, Eigen::Dynamic> ldlt_Sigma(Sigma);
check_ldlt_factor(function, "LDLT_Factor of Sigma", ldlt_Sigma);
check_size_match(function,
"Size of random variable (rows y)", y.rows(),
"Size of kernel scales (w)", w.size());
check_size_match(function,
"Size of random variable", y.cols(),
"rows of covariance parameter", Sigma.rows());
check_positive_finite(function, "Kernel scales", w);
check_finite(function, "Random variable", y);
if (y.rows() == 0)
return lp;
if (include_summand<propto>::value) {
lp += NEG_LOG_SQRT_TWO_PI * y.rows() * y.cols();
}
if (include_summand<propto, T_covar>::value) {
lp -= 0.5 * log_determinant_ldlt(ldlt_Sigma) * y.rows();
}
if (include_summand<propto, T_w>::value) {
lp += (0.5 * y.cols()) * sum(log(w));
}
if (include_summand<propto, T_y, T_w, T_covar>::value) {
Eigen::Matrix<T_w, Eigen::Dynamic, Eigen::Dynamic>
w_mat(w.asDiagonal());
Eigen::Matrix<T_y, Eigen::Dynamic, Eigen::Dynamic> yT(y.transpose());
lp -= 0.5 * trace_gen_inv_quad_form_ldlt(w_mat, ldlt_Sigma, yT);
}
return lp;
}
inline void check_pos_definite(const char* function, const char* name,
const Eigen::Matrix<T_y, -1, -1>& y) {
check_symmetric(function, name, y);
check_positive_size(function, name, "rows", y.rows());
if (y.rows() == 1 && !(y(0, 0) > CONSTRAINT_TOLERANCE))
domain_error(function, name, "is not positive definite.", "");
Eigen::LDLT<Eigen::MatrixXd> cholesky = value_of_rec(y).ldlt();
if (cholesky.info() != Eigen::Success
|| !cholesky.isPositive()
|| (cholesky.vectorD().array() <= 0.0).any())
domain_error(function, name, "is not positive definite.", "");
check_not_nan(function, name, y);
}
