adding input checks for cholesky factors

[syclik]

Summary

We weren't checking cholesky factors in the code in multivariate distributions. This appeared in a user-facing RNG generating NaN for all quantities.

The fix here is to validate input arguments.

Tests

No new tests.

For anyone reviewing, if it makes sense, please let me know what should be tested.

Side Effects

Some existing models may no longer work if they accept matrixes and compute something (even if it's non-sensical) based on the inputs.

Release notes

Bug fix. Added checks for Cholesky factors in multivariate distributions. This fixes issues in inv_wishart_cholesky_lpdf, lkj_corr_cholesky_lpdf, multi_gp_cholesky_lpdf, multi_normal_cholesky_lpdf, and wishart_cholesky_lpdf. This also affects the random number generators for inv_wishart_cholesky_rng, multi_normal_cholesky_rng, and wishart_cholesky_rng.

Checklist

• Copyright holder: Daniel Lee

  The copyright holder is typically you or your assignee, such as a university or company. By submitting this pull request, the copyright holder is agreeing to the license the submitted work under the following licenses:
  - Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
  - Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

• the basic tests are passing

  • unit tests pass (to run, use: ./runTests.py test/unit)
  • header checks pass, (make test-headers)
  • dependencies checks pass, (make test-math-dependencies)
  • docs build, (make doxygen)
  • code passes the built in C++ standards checks (make cpplint)

• the code is written in idiomatic C++ and changes are documented in the doxygen

• the new changes are tested

[syclik]

This PR overtakes #3002

[syclik]

@spinkney, this is correct, right?

[spinkney]

Yes, that's right 👍

…

On Fri, Jan 19, 2024, 2:08 PM Daniel Lee ***@***.***> wrote: ***@***.**** commented on this pull request. ------------------------------ In stan/math/prim/prob/inv_wishart_cholesky_rng.hpp <#3007 (comment)>: > @@ -47,7 +45,7 @@ inline Eigen::MatrixXd inv_wishart_cholesky_rng(double nu, B(j, j) = std::sqrt(chi_square_rng(nu - k + j + 1, rng)); } - return mdivide_left_tri_low(B, L_S); + return mdivide_right_tri_low(L_S, B); @spinkney <https://github.com/spinkney>, this is correct, right? — Reply to this email directly, view it on GitHub <#3007 (review)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AFU3D6PIL7VVEFBQ5NONNETYPLOFBAVCNFSM6AAAAABCCREMKKVHI2DSMVQWIX3LMV43YUDVNRWFEZLROVSXG5CSMV3GSZLXHMYTQMZTG4ZDKNZVGI> . You are receiving this because you were mentioned.Message ID: ***@***.***>

[syclik]

Much thanks to @sethaxen for discovering a problem with the rngs, @spinkney for pushing for a solution, and @WardBrian for helping with the trickier parts of expressions in this PR.

[syclik]

@WardBrian, this is ready to be merged! #3002 passes all tests.