Stan Math Library  2.12.0
reverse mode automatic differentiation
log_sum_exp.hpp
Go to the documentation of this file.
1 #ifndef STAN_MATH_FWD_MAT_FUN_LOG_SUM_EXP_HPP
2 #define STAN_MATH_FWD_MAT_FUN_LOG_SUM_EXP_HPP
3 
4 #include <stan/math/fwd/core.hpp>
9 #include <vector>
10 
11 namespace stan {
12  namespace math {
13 
14  // FIXME: cut-and-paste from fwd/log_sum_exp.hpp; should
15  // be able to generalize
16  template <typename T, int R, int C>
17  fvar<T>
18  log_sum_exp(const Eigen::Matrix<fvar<T>, R, C>& v) {
19  using std::exp;
20  using std::log;
21 
22  Eigen::Matrix<T, 1, Eigen::Dynamic> vals(v.size());
23  for (int i = 0; i < v.size(); ++i)
24  vals[i] = v(i).val_;
25  T deriv(0.0);
26  T denominator(0.0);
27  for (int i = 0; i < v.size(); ++i) {
28  T exp_vi = exp(vals[i]);
29  denominator += exp_vi;
30  deriv += v(i).d_ * exp_vi;
31  }
32  return fvar<T>(log_sum_exp(vals), deriv / denominator);
33  }
34 
35  }
36 }
37 #endif
fvar< T > log(const fvar< T > &x)
Definition: log.hpp:14
fvar< T > log_sum_exp(const std::vector< fvar< T > > &v)
Definition: log_sum_exp.hpp:13
fvar< T > exp(const fvar< T > &x)
Definition: exp.hpp:10

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