Stan Math Library  2.15.0
reverse mode automatic differentiation
logistic_cdf.hpp
Go to the documentation of this file.
1 #ifndef STAN_MATH_PRIM_SCAL_PROB_LOGISTIC_CDF_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_LOGISTIC_CDF_HPP
3 
4 #include <boost/random/exponential_distribution.hpp>
5 #include <boost/random/variate_generator.hpp>
22 #include <cmath>
23 #include <limits>
24 
25 namespace stan {
26  namespace math {
27 
28  // Logistic(y|mu, sigma) [sigma > 0]
29  template <typename T_y, typename T_loc, typename T_scale>
31  logistic_cdf(const T_y& y, const T_loc& mu, const T_scale& sigma) {
33  T_partials_return;
34 
35  if ( !( stan::length(y) && stan::length(mu)
36  && stan::length(sigma) ) )
37  return 1.0;
38 
39  static const char* function("logistic_cdf");
40 
41  using boost::math::tools::promote_args;
42  using std::exp;
43 
44  T_partials_return P(1.0);
45 
46  check_not_nan(function, "Random variable", y);
47  check_finite(function, "Location parameter", mu);
48  check_positive_finite(function, "Scale parameter", sigma);
49  check_consistent_sizes(function,
50  "Random variable", y,
51  "Location parameter", mu,
52  "Scale parameter", sigma);
53 
56  scalar_seq_view<const T_scale> sigma_vec(sigma);
57  size_t N = max_size(y, mu, sigma);
58 
60  operands_and_partials(y, mu, sigma);
61 
62  // Explicit return for extreme values
63  // The gradients are technically ill-defined, but treated as zero
64  for (size_t i = 0; i < stan::length(y); i++) {
65  if (value_of(y_vec[i]) == -std::numeric_limits<double>::infinity())
66  return operands_and_partials.value(0.0);
67  }
68 
69  for (size_t n = 0; n < N; n++) {
70  // Explicit results for extreme values
71  // The gradients are technically ill-defined, but treated as zero
72  if (value_of(y_vec[n]) == std::numeric_limits<double>::infinity()) {
73  continue;
74  }
75 
76  const T_partials_return y_dbl = value_of(y_vec[n]);
77  const T_partials_return mu_dbl = value_of(mu_vec[n]);
78  const T_partials_return sigma_dbl = value_of(sigma_vec[n]);
79  const T_partials_return sigma_inv_vec = 1.0 / value_of(sigma_vec[n]);
80 
81  const T_partials_return Pn = 1.0 / (1.0 + exp(-(y_dbl - mu_dbl)
82  * sigma_inv_vec));
83 
84  P *= Pn;
85 
87  operands_and_partials.d_x1[n]
88  += exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
90  operands_and_partials.d_x2[n]
91  += - exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
93  operands_and_partials.d_x3[n] += - (y_dbl - mu_dbl) * sigma_inv_vec
94  * exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
95  }
96 
98  for (size_t n = 0; n < stan::length(y); ++n)
99  operands_and_partials.d_x1[n] *= P;
100  }
102  for (size_t n = 0; n < stan::length(mu); ++n)
103  operands_and_partials.d_x2[n] *= P;
104  }
106  for (size_t n = 0; n < stan::length(sigma); ++n)
107  operands_and_partials.d_x3[n] *= P;
108  }
109  return operands_and_partials.value(P);
110  }
111 
112  }
113 }
114 #endif
VectorView< T_return_type, false, true > d_x2
void check_finite(const char *function, const char *name, const T_y &y)
Check if y is finite.
return_type< T_y, T_loc, T_scale >::type logistic_cdf(const T_y &y, const T_loc &mu, const T_scale &sigma)
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition: value_of.hpp:16
T_return_type value(double value)
Returns a T_return_type with the value specified with the partial derivatves.
scalar_seq_view provides a uniform sequence-like wrapper around either a scalar or a sequence of scal...
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
boost::math::tools::promote_args< typename scalar_type< T1 >::type, typename scalar_type< T2 >::type, typename scalar_type< T3 >::type, typename scalar_type< T4 >::type, typename scalar_type< T5 >::type, typename scalar_type< T6 >::type >::type type
Definition: return_type.hpp:27
Metaprogram to determine if a type has a base scalar type that can be assigned to type double...
void check_positive_finite(const char *function, const char *name, const T_y &y)
Check if y is positive and finite.
fvar< T > exp(const fvar< T > &x)
Definition: exp.hpp:10
void check_not_nan(const char *function, const char *name, const T_y &y)
Check if y is not NaN.
This class builds partial derivatives with respect to a set of operands.
VectorView< T_return_type, false, true > d_x3
size_t max_size(const T1 &x1, const T2 &x2)
Definition: max_size.hpp:9
return_type< T_y, T_loc, T_scale >::type logistic_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
void check_consistent_sizes(const char *function, const char *name1, const T1 &x1, const char *name2, const T2 &x2)
Check if the dimension of x1 is consistent with x2.
boost::math::tools::promote_args< typename partials_type< typename scalar_type< T1 >::type >::type, typename partials_type< typename scalar_type< T2 >::type >::type, typename partials_type< typename scalar_type< T3 >::type >::type, typename partials_type< typename scalar_type< T4 >::type >::type, typename partials_type< typename scalar_type< T5 >::type >::type, typename partials_type< typename scalar_type< T6 >::type >::type >::type type
VectorView< T_return_type, false, true > d_x1

     [ Stan Home Page ] © 2011–2016, Stan Development Team.