Stan Math Library  2.15.0
reverse mode automatic differentiation
cauchy_lpdf.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_CAUCHY_LPDF_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_CAUCHY_LPDF_HPP
3 
18 #include <boost/random/cauchy_distribution.hpp>
19 #include <boost/random/variate_generator.hpp>
20 #include <cmath>
21 
22 namespace stan {
23  namespace math {
24 
42  template <bool propto,
43  typename T_y, typename T_loc, typename T_scale>
45  cauchy_lpdf(const T_y& y, const T_loc& mu, const T_scale& sigma) {
46  static const char* function("cauchy_lpdf");
48  T_partials_return;
49 
51 
52  if (!(stan::length(y)
53  && stan::length(mu)
54  && stan::length(sigma)))
55  return 0.0;
56 
57  T_partials_return logp(0.0);
58 
59  check_not_nan(function, "Random variable", y);
60  check_finite(function, "Location parameter", mu);
61  check_positive_finite(function, "Scale parameter", sigma);
62  check_consistent_sizes(function,
63  "Random variable", y,
64  "Location parameter", mu,
65  "Scale parameter", sigma);
66 
68  return 0.0;
69 
70  using std::log;
71 
74  scalar_seq_view<const T_scale> sigma_vec(sigma);
75  size_t N = max_size(y, mu, sigma);
76 
78  VectorBuilder<true, T_partials_return,
79  T_scale> sigma_squared(length(sigma));
81  T_partials_return, T_scale> log_sigma(length(sigma));
82  for (size_t i = 0; i < length(sigma); i++) {
83  const T_partials_return sigma_dbl = value_of(sigma_vec[i]);
84  inv_sigma[i] = 1.0 / sigma_dbl;
85  sigma_squared[i] = sigma_dbl * sigma_dbl;
87  log_sigma[i] = log(sigma_dbl);
88  }
89  }
90 
92  operands_and_partials(y, mu, sigma);
93 
94  for (size_t n = 0; n < N; n++) {
95  const T_partials_return y_dbl = value_of(y_vec[n]);
96  const T_partials_return mu_dbl = value_of(mu_vec[n]);
97 
98  const T_partials_return y_minus_mu
99  = y_dbl - mu_dbl;
100  const T_partials_return y_minus_mu_squared
101  = y_minus_mu * y_minus_mu;
102  const T_partials_return y_minus_mu_over_sigma
103  = y_minus_mu * inv_sigma[n];
104  const T_partials_return y_minus_mu_over_sigma_squared
105  = y_minus_mu_over_sigma * y_minus_mu_over_sigma;
106 
108  logp += NEG_LOG_PI;
110  logp -= log_sigma[n];
112  logp -= log1p(y_minus_mu_over_sigma_squared);
113 
115  operands_and_partials.d_x1[n] -= 2 * y_minus_mu
116  / (sigma_squared[n] + y_minus_mu_squared);
118  operands_and_partials.d_x2[n] += 2 * y_minus_mu
119  / (sigma_squared[n] + y_minus_mu_squared);
121  operands_and_partials.d_x3[n]
122  += (y_minus_mu_squared - sigma_squared[n])
123  * inv_sigma[n] / (sigma_squared[n] + y_minus_mu_squared);
124  }
125  return operands_and_partials.value(logp);
126  }
127 
128  template <typename T_y, typename T_loc, typename T_scale>
129  inline
131  cauchy_lpdf(const T_y& y, const T_loc& mu, const T_scale& sigma) {
132  return cauchy_lpdf<false>(y, mu, sigma);
133  }
134 
135  }
136 }
137 #endif
VectorView< T_return_type, false, true > d_x2
const double NEG_LOG_PI
Definition: constants.hpp:183
void check_finite(const char *function, const char *name, const T_y &y)
Check if y is finite.
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:14
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
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...
void check_positive_finite(const char *function, const char *name, const T_y &y)
Check if y is positive and finite.
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
VectorBuilder allocates type T1 values to be used as intermediate values.
fvar< T > log1p(const fvar< T > &x)
Definition: log1p.hpp:11
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
return_type< T_y, T_loc, T_scale >::type cauchy_lpdf(const T_y &y, const T_loc &mu, const T_scale &sigma)
The log of the Cauchy density for the specified scalar(s) given the specified location parameter(s) a...
Definition: cauchy_lpdf.hpp:45

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