Maybe someone knows if there is a better way to write this matrix formulation? vector[K] v; matrix[K, J] X; \\ X' * diag_matrix(v) * X matrix[J, J] G = diag_post_multiply(X', v) * X; I really want something like matrix quad_form_diag(vector a, matrix B) which is equivalent to B' * diag_matrix(…

Better formulation of X' * diag_matrix(v) * X

bgoodri April 22, 2020, 4:49pm 2

I do

crossprod(diag_pre_multiply(sqrt(v), X));

assuming v is positive.

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