Stan Math Library  2.20.0
reverse mode automatic differentiation
multi_student_t_rng.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_PROB_MULTI_STUDENT_T_RNG_HPP
2 #define STAN_MATH_PRIM_MAT_PROB_MULTI_STUDENT_T_RNG_HPP
3 
10 #include <boost/random/normal_distribution.hpp>
11 #include <boost/random/gamma_distribution.hpp>
12 #include <boost/random/variate_generator.hpp>
13 
14 namespace stan {
15 namespace math {
16 
35 template <typename T_loc, class RNG>
38  double nu, const T_loc& mu,
39  const Eigen::Matrix<double, Eigen::Dynamic, Eigen::Dynamic>& S, RNG& rng) {
40  using boost::normal_distribution;
41  using boost::random::gamma_distribution;
42  using boost::variate_generator;
43 
44  static const char* function = "multi_student_t_rng";
45 
46  check_not_nan(function, "Degrees of freedom parameter", nu);
47  check_positive(function, "Degrees of freedom parameter", nu);
48  check_positive(function, "Covariance matrix rows", S.rows());
49  check_symmetric(function, "Covariance matrix", S);
50  Eigen::LLT<Eigen::MatrixXd> llt_of_S = S.llt();
51  check_pos_definite(function, "covariance matrix argument", llt_of_S);
52 
53  vector_seq_view<T_loc> mu_vec(mu);
54  size_t size_mu = mu_vec[0].size();
55 
56  size_t N = length_mvt(mu);
57  int size_mu_old = size_mu;
58  for (size_t i = 1; i < N; i++) {
59  int size_mu_new = mu_vec[i].size();
60  check_size_match(function,
61  "Size of one of the vectors of "
62  "the location variable",
63  size_mu_new,
64  "Size of another vector of the "
65  "location variable",
66  size_mu_old);
67  size_mu_old = size_mu_new;
68  }
69 
70  for (size_t i = 0; i < N; i++) {
71  check_finite(function, "Location parameter", mu_vec[i]);
72  }
73 
75 
76  variate_generator<RNG&, normal_distribution<> > std_normal_rng(
77  rng, normal_distribution<>(0, 1));
78  variate_generator<RNG&, gamma_distribution<> > gamma_rng(
79  rng, gamma_distribution<>(nu / 2.0, 2.0 / nu));
80 
81  double w = 1.0 / gamma_rng();
82  for (size_t n = 0; n < N; ++n) {
83  Eigen::VectorXd z(S.cols());
84  for (int i = 0; i < S.cols(); i++)
85  z(i) = std::sqrt(w) * std_normal_rng();
86 
87  output[n] = Eigen::VectorXd(mu_vec[n]) + llt_of_S.matrixL() * z;
88  }
89 
90  return output.data();
91 }
92 
93 } // namespace math
94 } // namespace stan
95 #endif
void check_finite(const char *function, const char *name, const T_y &y)
Check if y is finite.
fvar< T > sqrt(const fvar< T > &x)
Definition: sqrt.hpp:13
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 allocates type T1 values to be used as intermediate values.
void check_not_nan(const char *function, const char *name, const T_y &y)
Check if y is not NaN.
VectorBuilder< true, double, T_shape, T_inv >::type gamma_rng(const T_shape &alpha, const T_inv &beta, RNG &rng)
Return a gamma random variate for the given shape and inverse scale parameters using the specified ra...
Definition: gamma_rng.hpp:33
This class provides a low-cost wrapper for situations where you either need an Eigen Vector or RowVec...
void check_positive(const char *function, const char *name, const T_y &y)
Check if y is positive.
StdVectorBuilder< true, Eigen::VectorXd, T_loc >::type multi_student_t_rng(double nu, const T_loc &mu, const Eigen::Matrix< double, Eigen::Dynamic, Eigen::Dynamic > &S, RNG &rng)
Return a multivariate student-t random variate with the given degrees of freedom location and covaria...
void check_pos_definite(const char *function, const char *name, const Eigen::Matrix< T_y, -1, -1 > &y)
Check if the specified square, symmetric matrix is positive definite.
void check_symmetric(const char *function, const char *name, const matrix_cl &y)
Check if the matrix_cl is symmetric.
size_t length_mvt(const Eigen::Matrix< T, R, C > &)
Definition: length_mvt.hpp:12

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