Hello! A simple question, hopefully. What is the most efficient way to write B' * diag(A) * B? I have been using B' * diag_pre_multiply(A, B) but suspect there might be something more efficient. Would quad_form(diag(A), B) be more efficient? Thanks!

That probably has a simple answer that depends on the Stan Math library and the underlying Eigen libraries and any others that may go into linear algebra calculations. Unfortunately I don’t know what that answer is without looking into them, so unless someone who is can give you the technical answe…

[image] Better formulation of X' * diag_matrix(v) * X General I do crossprod(diag_pre_multiply(sqrt(v), X)); assuming v is positive.

Most efficient way of writing specific quadratic form

Modeling

spinkney August 18, 2023, 7:09pm 3

2 Likes

Topic		Replies	Views
Better formulation of X' * diag_matrix(v) * X General techniques , performance	1	418	April 22, 2020
Computing the diagonal of a matrix product Developers	5	2998	July 17, 2019
Elementwise multiplication question Modeling	6	773	January 4, 2021
More efficient anisotropic calculation for Gaussian Process Kernel? Modeling performance , gaussian-process	9	1049	April 20, 2021
Efficiently populate a matrix in transformed parameters block Modeling matrix , covariance	1	70	July 22, 2024

Most efficient way of writing specific quadratic form

Related topics