Matrix operations

Functions
matrix	chol_kronecker_prod (matrix A, matrix B)

Detailed Description

 
matrix chol_kronecker_prod(matrix A, matrix B) {
  int m = rows(A);
  int p = rows(B);
  int N = m * p;
  matrix[N, N] C = rep_matrix(0., N, N);
  
  for (i in 1 : m) {
    for (j in 1 : i) {
      if (fabs(A[i, j]) > 1e-12) {
        int row_start = (i - 1) * p + 1;
        int row_end = (i - 1) * p + p;
        int col_start = (j - 1) * p + 1;
        int col_end = (j - 1) * p + p;
        C[row_start : row_end, col_start : col_end] = A[i, j] * B;
      }
    }
  }
  return C;
}

Function Documentation

chol_kronecker_prod()

matrix chol_kronecker_prod	(	matrix	A,
		matrix	B
	)

Kronecker product of two Cholesky factors

Copyright 2022, Sean Pinkney

Parameters

A	Matrix
B	Matrix

Returns

Kronecker product matrix of Cholesky factors A and B