stan::math::LDLT_factor< T, R, C > Class Template Reference

LDLT_factor is a thin wrapper on Eigen::LDLT to allow for reusing factorizations and efficient autodiff of things like log determinants and solutions to linear systems. More...

#include <LDLT_factor.hpp>

Public Types
typedef size_t	size_type
typedef double	value_type

Public Member Functions
	LDLT_factor ()
	LDLT_factor (const Eigen::Matrix< T, R, C > &A)
void	compute (const Eigen::Matrix< T, R, C > &A)
bool	success () const
T	log_abs_det () const
void	inverse (Eigen::Matrix< T, R, C > &invA) const
template<typename Rhs >
const Eigen::internal::solve_retval < Eigen::LDLT< Eigen::Matrix < T, R, C > >, Rhs >	solve (const Eigen::MatrixBase< Rhs > &b) const
Eigen::Matrix< T, R, C >	solveRight (const Eigen::Matrix< T, R, C > &B) const
Eigen::Matrix< T, Eigen::Dynamic, 1 >	vectorD () const
Eigen::LDLT< Eigen::Matrix< T, R, C > >	matrixLDLT () const
size_t	rows () const
size_t	cols () const

Public Attributes
size_t	N_
boost::shared_ptr< Eigen::LDLT < Eigen::Matrix< T, R, C > > >	_ldltP

Detailed Description

template<int R, int C, typename T>
class stan::math::LDLT_factor< T, R, C >

LDLT_factor is a thin wrapper on Eigen::LDLT to allow for reusing factorizations and efficient autodiff of things like log determinants and solutions to linear systems.

After the constructor and/or compute() is called users of LDLT_factor are responsible for calling success() to check whether the factorization has succeeded. Use of an LDLT_factor object (e.g., in mdivide_left_ldlt) is undefined if success() is false.

It's usage pattern is:

Eigen::Matrix<T,R,C> A1, A2;

LDLT_factor<T,R,C> ldlt_A1(A1);
LDLT_factor<T,R,C> ldlt_A2;
ldlt_A2.compute(A2);

Now, the caller should check that ldlt_A1.success() and ldlt_A2.success() are true or abort accordingly. Alternatively, call check_ldlt_factor().

Note that ldlt_A1 and ldlt_A2 are completely equivalent. They simply demonstrate two different ways to construct the factorization.

Now, the caller can use the LDLT_factor objects as needed. For instance

x1 = mdivide_left_ldlt(ldlt_A1,b1);
x2 = mdivide_right_ldlt(b2,ldlt_A2);

d1 = log_determinant_ldlt(ldlt_A1);
d2 = log_determinant_ldlt(ldlt_A2);

Definition at line 56 of file LDLT_factor.hpp.

Member Typedef Documentation

template<int R, int C, typename T >

typedef size_t stan::math::LDLT_factor< T, R, C >::size_type

Definition at line 111 of file LDLT_factor.hpp.

template<int R, int C, typename T >

typedef double stan::math::LDLT_factor< T, R, C >::value_type

Definition at line 112 of file LDLT_factor.hpp.

Constructor & Destructor Documentation

template<int R, int C, typename T >

stan::math::LDLT_factor< T, R, C >::LDLT_factor ( )

inline

Definition at line 58 of file LDLT_factor.hpp.

template<int R, int C, typename T >

stan::math::LDLT_factor< T, R, C >::LDLT_factor ( const Eigen::Matrix< T, R, C > &  A )

inline

Definition at line 61 of file LDLT_factor.hpp.

Member Function Documentation

template<int R, int C, typename T >

size_t stan::math::LDLT_factor< T, R, C >::cols ( ) const

inline

Definition at line 109 of file LDLT_factor.hpp.

template<int R, int C, typename T >

void stan::math::LDLT_factor< T, R, C >::compute ( const Eigen::Matrix< T, R, C > &  A )

inline

Definition at line 67 of file LDLT_factor.hpp.

template<int R, int C, typename T >

void stan::math::LDLT_factor< T, R, C >::inverse ( Eigen::Matrix< T, R, C > &  invA ) const

inline

Definition at line 85 of file LDLT_factor.hpp.

template<int R, int C, typename T >

T stan::math::LDLT_factor< T, R, C >::log_abs_det ( ) const

inline

Definition at line 81 of file LDLT_factor.hpp.

template<int R, int C, typename T >

Eigen::LDLT<Eigen::Matrix<T,R,C> > stan::math::LDLT_factor< T, R, C >::matrixLDLT ( ) const

inline

Definition at line 104 of file LDLT_factor.hpp.

template<int R, int C, typename T >

size_t stan::math::LDLT_factor< T, R, C >::rows ( ) const

inline

Definition at line 108 of file LDLT_factor.hpp.

template<int R, int C, typename T >

template<typename Rhs >

const Eigen::internal::solve_retval<Eigen::LDLT< Eigen::Matrix<T,R,C> >, Rhs> stan::math::LDLT_factor< T, R, C >::solve ( const Eigen::MatrixBase< Rhs > &  b ) const

inline

Definition at line 92 of file LDLT_factor.hpp.

template<int R, int C, typename T >

Eigen::Matrix<T,R,C> stan::math::LDLT_factor< T, R, C >::solveRight ( const Eigen::Matrix< T, R, C > &  B ) const

inline

Definition at line 96 of file LDLT_factor.hpp.

template<int R, int C, typename T >

bool stan::math::LDLT_factor< T, R, C >::success ( ) const

inline

Definition at line 73 of file LDLT_factor.hpp.

template<int R, int C, typename T >

Eigen::Matrix<T,Eigen::Dynamic,1> stan::math::LDLT_factor< T, R, C >::vectorD ( ) const

inline

Definition at line 100 of file LDLT_factor.hpp.

Member Data Documentation

template<int R, int C, typename T >

boost::shared_ptr< Eigen::LDLT< Eigen::Matrix<T,R,C> > > stan::math::LDLT_factor< T, R, C >::_ldltP

Definition at line 115 of file LDLT_factor.hpp.

template<int R, int C, typename T >

size_t stan::math::LDLT_factor< T, R, C >::N_

Definition at line 114 of file LDLT_factor.hpp.

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The documentation for this class was generated from the following file:

• src/stan/math/matrix/LDLT_factor.hpp