Kronecker matrix-vector product function

[rtrangucci]

Summary:

Add a Kronecker matrix-vector product function per #60.

Description:

vector kron_matrix_vector_prod(matrix K1, matrix K2, vector V) returns

kronecker(K1, K2) %*% V by doing as.vector(K2 %*% matrix(V,dim(K2)[1],dim(K1)[1]) %*% t(K1)

Current Version:

v2.12.0

[mshvartsman]

I have an efficient implementation of (K1 kron K2 kron K3) * X and X * (K1 kron K2 kron K3), where X can be a matrix (efficient meaning that nothing larger than the final result is created). See the bottom of http://rpubs.com/mshvarts/matnorm-stan. If it would be helpful, I can probably port it into c++ once I figure out stan's internals. Please let me know how I can help.

[bob-carpenter]

For adding new functions, see: https://github.com/stan-dev/stan/wiki/Contributing-New-Functions-to-Stan One way to do this would be to write it as a templated function in stan/math/prim/mat/fun. I'd suggest doing that first and adding tests. It would probably be more efficient to build in specialized derivatives. - Bob

…

On Jan 29, 2017, at 11:07 PM, Michael Shvartsman ***@***.***> wrote: I have an efficient implementation of (K1 kron K2 kron K3) * X and X * (K1 kron K2 kron K3), where X can be a matrix (efficient meaning that nothing larger than the final result is created). See the bottom of http://rpubs.com/mshvarts/matnorm-stan. If it would be helpful, I can probably port it into c++ once I figure out stan's internals. Please let me know how I can help. — You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub, or mute the thread.