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13 namespace stan {
14 namespace math {
15
16 /*
17  * Compute the trace of an inverse quadratic form. I.E., this computes
18  * trace(B^T A^-1 B)
19  * where the LDLT_factor of A is provided.
20  */
21 template <typename T1, typename T2, int R2, int C2, int R3, int C3>
22 inline typename boost::enable_if_c<
26  const Eigen::Matrix<T2, R3, C3> &B) {
27  check_multiplicable("trace_inv_quad_form_ldlt", "A", A, "B", B);
28
29  return trace(multiply(transpose(B), mdivide_left_ldlt(A, B)));
30 }
31
32 } // namespace math
33 } // namespace stan
34 #endif
Eigen::Matrix< fvar< T2 >, R1, C2 > mdivide_left_ldlt(const LDLT_factor< double, R1, C1 > &A, const Eigen::Matrix< fvar< T2 >, R2, C2 > &b)
Eigen::Matrix< fvar< T >, R1, C1 > multiply(const Eigen::Matrix< fvar< T >, R1, C1 > &m, const fvar< T > &c)
Definition: multiply.hpp:18
void check_multiplicable(const char *function, const char *name1, const T1 &y1, const char *name2, const T2 &y2)
static const double A
Definition: Units.h:82
T trace(const Eigen::Matrix< T, Eigen::Dynamic, Eigen::Dynamic > &m)
Definition: trace.hpp:19
boost::enable_if_c< !stan::is_var< T1 >::value &&!stan::is_var< T2 >::value, typename boost::math::tools::promote_args< T1, T2 >::type >::type trace_inv_quad_form_ldlt(const LDLT_factor< T1, R2, C2 > &A, const Eigen::Matrix< T2, R3, C3 > &B)
Eigen::Matrix< T, C, R > transpose(const Eigen::Matrix< T, R, C > &m)
Definition: transpose.hpp:10