Add sparse matrix by dense vector multiplication

[sakrejda]

I let this go stale, I'm going to fix it up so I can get it in now, the background is in pull request 1405. It needs to be two separate pull requests now, one for stan-dev/stan and one for stan-dev/math. For stan-dev only the function signature needs to be exposed.

Fixes

• Expose one multiplication function---named "csr_matrix_times_vector"
• Expose constructor for a dense matrix using the sparse format---named "csr_to_dense_matrix"
• Expose extractors for turning dense matrix to sparse matrix components named:
  • "csr_extract_w"
  • "csr_extract_v"
  • "csr_extract_u"
  • "csr_extract_z"
• add documentation
• expose it to the language
• add test models testing each instantiation of the function

[bgoodri]

Is this still considered close to ready? @jgabry and I would like to release an R package with precompiled .stan programs early in the Fall semester and could really use a sparse design matrix in a few places.

[sakrejda]

Yes, I expect to push something that should be ready for a real pull
request early next week. Most of the work is on the math library side so
the issue with progress tracking is in the math library:
stan-dev/math#127

2015-08-06 15:33 GMT-04:00 bgoodri notifications@github.com:

Is this still considered close to ready? @jgabry
https://github.com/jgabry and I would like to release an R package with
precompiled .stan programs early in the Fall semester and could really use
a sparse design matrix in a few places.

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#1565 (comment).

[sakrejda]

@bgoodri, @jgabry, I just pushed to the sparse_multiply feature branch for the math library. It passes tests but probably not linting yet. If that goes through the changes required for the stan library are really minor and I can help plumb stuff through for rstan if there's interest.

[syclik]

@sakrejda, I just updated the list with two items; we're at the Stan meeting and want to make sure we wrote down what had to be done.

[syclik]

(we all know you're working on it)

[bob-carpenter]

I added a third item --- tests. I volunteered to do all of this if you need help. We're trying to release in the next week and need to get this in.

[sakrejda]

@bob-carpenter Can you write the doc? I added the signatures and I'm in the middle of adding the test models. If I get stuck I'll ask for help with that too so I'm not holding you up.

[bob-carpenter]

Sure --- I'll write the doc this afternoon.

On Sep 1, 2015, at 2:00 PM, Krzysztof Sakrejda notifications@github.com wrote:

@bob-carpenter Can you write the doc? I added the signatures and I'm in the middle of adding the test models. If I get stuck I'll ask for help with that too so I'm not holding you up.

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