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Kronecker matrix utilities #1196
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I think the most immediate need is to have a user-facing function called something like quad_form_kronecker that takes 3 arguments (matrix It is often the case that either |
Here's a summary of the main points from the Stan dev meeting on this topic (17 February 2015): Eigen now has (experimental) support for Kronecker products: http://eigen.tuxfamily.org/dox-devel/unsupported/group__KroneckerProduct__Module.html and Eigen also has a fair bit of supported sparse types (some experimental) e.g.: http://eigen.tuxfamily.org/bz/show_bug.cgi?id=275 http://eigen.tuxfamily.org/dox/group__SparseQuickRefPage.html We discussed ways of implementing, a type Important design decision Once we get that worked out, the main wish list for Kronecker matrix functions is simply everything in section 34.7 of the manual, Linear Algebra Functions and Solvers, e.g.: We also need matrix-vector multiplication (not sure the naming convention here): I guess we need a function (although like inverse it shouldn't be the first choice for a user): Also very useful will be: Relatedly, the matrix normal distribution is already implemented, but not exposed. It should be exposed. (@mbrubake may have thoughts.) |
As a start, we might think about exposing a Triplet
http://eigen.tuxfamily.org/dox/classEigen_1_1Triplet.html
That would make it possible for a C++ function to take a Triplet and do
sparse stuff internally. In addition, that would be useful for
(non-)missing data.
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This issue was moved to stan-dev/math#60 |
Need utilities for Kroneckers for Gaussian processes. I don't know much about it but want to get it down as an issue and point to Ben's R example:
https://groups.google.com/forum/#!msg/stan-users/iddShgJVwTQ/QgcDEP3h9JQJ
Talk to Ben to figure out how this should look in Stan.
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