Stan Math Library  2.20.0
reverse mode automatic differentiation
multi_normal_cholesky_rng.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_PROB_MULTI_NORMAL_CHOLESKY_RNG_HPP
2 #define STAN_MATH_PRIM_MAT_PROB_MULTI_NORMAL_CHOLESKY_RNG_HPP
3 
7 #include <boost/random/normal_distribution.hpp>
8 #include <boost/random/variate_generator.hpp>
9 
10 namespace stan {
11 namespace math {
12 
29 template <typename T_loc, class RNG>
32  const T_loc& mu,
33  const Eigen::Matrix<double, Eigen::Dynamic, Eigen::Dynamic>& L, RNG& rng) {
34  using boost::normal_distribution;
35  using boost::variate_generator;
36 
37  static const char* function = "multi_normal_cholesky_rng";
38  vector_seq_view<T_loc> mu_vec(mu);
39  size_t size_mu = mu_vec[0].size();
40 
41  size_t N = length_mvt(mu);
42  int size_mu_old = size_mu;
43  for (size_t i = 1; i < N; i++) {
44  int size_mu_new = mu_vec[i].size();
45  check_size_match(function,
46  "Size of one of the vectors of "
47  "the location variable",
48  size_mu_new,
49  "Size of another vector of the "
50  "location variable",
51  size_mu_old);
52  size_mu_old = size_mu_new;
53  }
54 
55  for (size_t i = 0; i < N; i++) {
56  check_finite(function, "Location parameter", mu_vec[i]);
57  }
58 
60 
61  variate_generator<RNG&, normal_distribution<> > std_normal_rng(
62  rng, normal_distribution<>(0, 1));
63 
64  for (size_t n = 0; n < N; ++n) {
65  Eigen::VectorXd z(L.cols());
66  for (int i = 0; i < L.cols(); i++)
67  z(i) = std_normal_rng();
68 
69  output[n] = Eigen::VectorXd(mu_vec[n]) + L * z;
70  }
71 
72  return output.data();
73 }
74 } // namespace math
75 } // namespace stan
76 #endif
void check_finite(const char *function, const char *name, const T_y &y)
Check if y is finite.
void check_size_match(const char *function, const char *name_i, T_size1 i, const char *name_j, T_size2 j)
Check if the provided sizes match.
StdVectorBuilder< true, Eigen::VectorXd, T_loc >::type multi_normal_cholesky_rng(const T_loc &mu, const Eigen::Matrix< double, Eigen::Dynamic, Eigen::Dynamic > &L, RNG &rng)
Return a multivariate normal random variate with the given location and Cholesky factorization of the...
StdVectorBuilder allocates type T1 values to be used as intermediate values.
This class provides a low-cost wrapper for situations where you either need an Eigen Vector or RowVec...
size_t length_mvt(const Eigen::Matrix< T, R, C > &)
Definition: length_mvt.hpp:12

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