check_pos_semidefinite.hpp

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#ifndef STAN__MATH__ERROR_HANDLING__MATRIX__CHECK_POS_SEMIDEFINITE_HPP
#define STAN__MATH__ERROR_HANDLING__MATRIX__CHECK_POS_SEMIDEFINITE_HPP

#include <sstream>

#include <boost/math/special_functions/fpclassify.hpp>

#include <stan/math/error_handling/dom_err.hpp>
#include <stan/math/error_handling/matrix/constraint_tolerance.hpp>
#include <stan/math/matrix/Eigen.hpp>
#include <stan/math/matrix/meta/index_type.hpp>

namespace stan {

  namespace math {

    // FIXME: update warnings (message has (0,0) item)
    template <typename T_y, typename T_result>
    inline bool 
    check_pos_semidefinite(const char* function,
                           const Eigen::Matrix<T_y,
                                               Eigen::Dynamic,
                                               Eigen::Dynamic>& y,
                           const char* name,
                           T_result* result) {
      using Eigen::Dynamic;
      using Eigen::Matrix;
      typedef typename index_type<Matrix<T_y,Dynamic,Dynamic> >::type size_type;

      if (y.rows() == 1 && !(y(0,0) >= 0.0)) {
        std::ostringstream message;
        message << name << " is not positive semi-definite. " 
                << name << "(0,0) is %1%.";
        std::string msg(message.str());
        return dom_err(function,y(0,0),name,msg.c_str(),"",result);
      }
      Eigen::LDLT< Eigen::Matrix<T_y,Eigen::Dynamic,Eigen::Dynamic> > cholesky 
        = y.ldlt();
      if(cholesky.info() != Eigen::Success || (cholesky.vectorD().array() < 0.0).any()) {
        std::ostringstream message;
        message << name << " is not positive semi-definite. " 
                << name << "(0,0) is %1%.";
        std::string msg(message.str());
        return dom_err(function,y(0,0),name,msg.c_str(),"",result);
      }
      for (int i = 0; i < y.size(); i++)
        if (boost::math::isnan(y(i))) {
          std::ostringstream message;
          message << name << " is not positive semi-definite. " 
                  << name << "(0,0) is %1%.";
          std::string msg(message.str());
          return dom_err(function,y(0,0),name,msg.c_str(),"",result);
        }
      return true;
    }

  }
}
#endif