Stan Math Library  2.15.0
reverse mode automatic differentiation
double_exponential_lpdf.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_DOUBLE_EXPONENTIAL_LPDF_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_DOUBLE_EXPONENTIAL_LPDF_HPP
3 
19 #include <boost/random/uniform_01.hpp>
20 #include <boost/random/variate_generator.hpp>
21 #include <cmath>
22 
23 namespace stan {
24  namespace math {
25 
40  template <bool propto,
41  typename T_y, typename T_loc, typename T_scale>
44  const T_loc& mu, const T_scale& sigma) {
45  static const char* function("double_exponential_lpdf");
47  T_partials_return;
48 
50  using std::log;
51  using std::fabs;
52  using std::log;
53 
54  if (!(stan::length(y)
55  && stan::length(mu)
56  && stan::length(sigma)))
57  return 0.0;
58 
59  T_partials_return logp(0.0);
60  check_finite(function, "Random variable", y);
61  check_finite(function, "Location parameter", mu);
62  check_positive_finite(function, "Scale parameter", sigma);
63  check_consistent_sizes(function,
64  "Random variable", y,
65  "Location parameter", mu,
66  "Shape parameter", sigma);
67 
69  return 0.0;
70 
73  scalar_seq_view<const T_scale> sigma_vec(sigma);
74  size_t N = max_size(y, mu, sigma);
76  operands_and_partials(y, mu, sigma);
77 
79  T_partials_return, T_scale> inv_sigma(length(sigma));
81  T_partials_return, T_scale>
82  inv_sigma_squared(length(sigma));
84  T_partials_return, T_scale> log_sigma(length(sigma));
85  for (size_t i = 0; i < length(sigma); i++) {
86  const T_partials_return sigma_dbl = value_of(sigma_vec[i]);
88  inv_sigma[i] = 1.0 / sigma_dbl;
90  log_sigma[i] = log(value_of(sigma_vec[i]));
92  inv_sigma_squared[i] = inv_sigma[i] * inv_sigma[i];
93  }
94 
95  for (size_t n = 0; n < N; n++) {
96  const T_partials_return y_dbl = value_of(y_vec[n]);
97  const T_partials_return mu_dbl = value_of(mu_vec[n]);
98 
99  const T_partials_return y_m_mu = y_dbl - mu_dbl;
100  const T_partials_return fabs_y_m_mu = fabs(y_m_mu);
101 
103  logp += NEG_LOG_TWO;
105  logp -= log_sigma[n];
107  logp -= fabs_y_m_mu * inv_sigma[n];
108 
109  T_partials_return sign_y_m_mu_times_inv_sigma(0);
111  sign_y_m_mu_times_inv_sigma = sign(y_m_mu) * inv_sigma[n];
113  operands_and_partials.d_x1[n] -= sign_y_m_mu_times_inv_sigma;
114  }
116  operands_and_partials.d_x2[n] += sign_y_m_mu_times_inv_sigma;
117  }
119  operands_and_partials.d_x3[n] += -inv_sigma[n] + fabs_y_m_mu
120  * inv_sigma_squared[n];
121  }
122  return operands_and_partials.value(logp);
123  }
124 
125  template <typename T_y, typename T_loc, typename T_scale>
127  double_exponential_lpdf(const T_y& y, const T_loc& mu,
128  const T_scale& sigma) {
129  return double_exponential_lpdf<false>(y, mu, sigma);
130  }
131 
132  }
133 }
134 #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.
fvar< T > fabs(const fvar< T > &x)
Definition: fabs.hpp:15
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition: value_of.hpp:16
int sign(const T &z)
Definition: sign.hpp:9
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.
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
const double NEG_LOG_TWO
Definition: constants.hpp:178
VectorBuilder allocates type T1 values to be used as intermediate values.
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
return_type< T_y, T_loc, T_scale >::type double_exponential_lpdf(const T_y &y, const T_loc &mu, const T_scale &sigma)
Returns the double exponential log probability density function.
VectorView< T_return_type, false, true > d_x1

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