Stan Math Library  2.11.0
reverse mode automatic differentiation
gumbel_log.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_GUMBEL_LOG_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_GUMBEL_LOG_HPP
3 
4 #include <boost/random/uniform_01.hpp>
5 #include <boost/random/variate_generator.hpp>
20 #include <cmath>
21 
22 namespace stan {
23 
24  namespace math {
25 
26  template <bool propto, typename T_y, typename T_loc, typename T_scale>
27  typename return_type<T_y, T_loc, T_scale>::type
28  gumbel_log(const T_y& y, const T_loc& mu, const T_scale& beta) {
29  static const char* function("stan::math::gumbel_log");
31  T_partials_return;
32 
33  using std::log;
34  using std::exp;
42  using std::log;
43  using std::exp;
44 
45  // check if any vectors are zero length
46  if (!(stan::length(y)
47  && stan::length(mu)
48  && stan::length(beta)))
49  return 0.0;
50 
51  // set up return value accumulator
52  T_partials_return logp(0.0);
53 
54  // validate args (here done over var, which should be OK)
55  check_not_nan(function, "Random variable", y);
56  check_finite(function, "Location parameter", mu);
57  check_positive(function, "Scale parameter", beta);
58  check_consistent_sizes(function,
59  "Random variable", y,
60  "Location parameter", mu,
61  "Scale parameter", beta);
62 
63  // check if no variables are involved and prop-to
65  return 0.0;
66 
67  // set up template expressions wrapping scalars into vector views
69  operands_and_partials(y, mu, beta);
70 
71  VectorView<const T_y> y_vec(y);
72  VectorView<const T_loc> mu_vec(mu);
73  VectorView<const T_scale> beta_vec(beta);
74  size_t N = max_size(y, mu, beta);
75 
78  T_partials_return, T_scale> log_beta(length(beta));
79  for (size_t i = 0; i < length(beta); i++) {
80  inv_beta[i] = 1.0 / value_of(beta_vec[i]);
82  log_beta[i] = log(value_of(beta_vec[i]));
83  }
84 
85  for (size_t n = 0; n < N; n++) {
86  // pull out values of arguments
87  const T_partials_return y_dbl = value_of(y_vec[n]);
88  const T_partials_return mu_dbl = value_of(mu_vec[n]);
89 
90  // reusable subexpression values
91  const T_partials_return y_minus_mu_over_beta
92  = (y_dbl - mu_dbl) * inv_beta[n];
93 
94  // log probability
96  logp -= log_beta[n];
98  logp += -y_minus_mu_over_beta - exp(-y_minus_mu_over_beta);
99 
100  // gradients
101  T_partials_return scaled_diff = inv_beta[n]
102  * exp(-y_minus_mu_over_beta);
104  operands_and_partials.d_x1[n] -= inv_beta[n] - scaled_diff;
106  operands_and_partials.d_x2[n] += inv_beta[n] - scaled_diff;
108  operands_and_partials.d_x3[n]
109  += -inv_beta[n] + y_minus_mu_over_beta * inv_beta[n]
110  - scaled_diff * y_minus_mu_over_beta;
111  }
112  return operands_and_partials.value(logp);
113  }
114 
115  template <typename T_y, typename T_loc, typename T_scale>
116  inline
118  gumbel_log(const T_y& y, const T_loc& mu, const T_scale& beta) {
119  return gumbel_log<false>(y, mu, beta);
120  }
121  }
122 }
123 #endif
124 
VectorView< T_return_type, false, true > d_x2
bool check_not_nan(const char *function, const char *name, const T_y &y)
Return true if y is not NaN.
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition: value_of.hpp:16
fvar< T > log(const fvar< T > &x)
Definition: log.hpp:15
T_return_type value(double value)
Returns a T_return_type with the value specified with the partial derivatves.
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
Template metaprogram to calculate whether a summand needs to be included in a proportional (log) prob...
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...
return_type< T_y, T_loc, T_scale >::type gumbel_log(const T_y &y, const T_loc &mu, const T_scale &beta)
Definition: gumbel_log.hpp:28
fvar< T > exp(const fvar< T > &x)
Definition: exp.hpp:10
This class builds partial derivatives with respect to a set of operands.
VectorView< T_return_type, false, true > d_x3
bool check_positive(const char *function, const char *name, const T_y &y)
Return true if y is positive.
size_t max_size(const T1 &x1, const T2 &x2)
Definition: max_size.hpp:9
bool check_finite(const char *function, const char *name, const T_y &y)
Return true if y is finite.
VectorBuilder allocates type T1 values to be used as intermediate values.
bool check_consistent_sizes(const char *function, const char *name1, const T1 &x1, const char *name2, const T2 &x2)
Return true if the dimension of x1 is consistent with x2.
VectorView is a template expression that is constructed with a container or scalar, which it then allows to be used as an array using operator[].
Definition: VectorView.hpp:48
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

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