Stan Math Library  2.15.0
reverse mode automatic differentiation
double_exponential_lcdf.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_DOUBLE_EXPONENTIAL_LCDF_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_DOUBLE_EXPONENTIAL_LCDF_HPP
3 
17 #include <boost/random/uniform_01.hpp>
18 #include <boost/random/variate_generator.hpp>
19 #include <cmath>
20 
21 namespace stan {
22  namespace math {
23 
38  template <typename T_y, typename T_loc, typename T_scale>
40  double_exponential_lcdf(const T_y& y, const T_loc& mu,
41  const T_scale& sigma) {
42  static const char* function("double_exponential_lcdf");
44  T_partials_return;
45 
46  T_partials_return cdf_log(0.0);
47 
48  if (!(stan::length(y)
49  && stan::length(mu)
50  && stan::length(sigma)))
51  return cdf_log;
52 
53  check_not_nan(function, "Random variable", y);
54  check_finite(function, "Location parameter", mu);
55  check_positive_finite(function, "Scale parameter", sigma);
56  check_consistent_sizes(function,
57  "Random variable", y,
58  "Location parameter", mu,
59  "Scale Parameter", sigma);
60 
61  using std::log;
62  using std::exp;
63  using std::exp;
64 
66  operands_and_partials(y, mu, sigma);
67 
70  scalar_seq_view<const T_scale> sigma_vec(sigma);
71  const double log_half = std::log(0.5);
72  size_t N = max_size(y, mu, sigma);
73 
74  for (size_t n = 0; n < N; n++) {
75  const T_partials_return y_dbl = value_of(y_vec[n]);
76  const T_partials_return mu_dbl = value_of(mu_vec[n]);
77  const T_partials_return sigma_dbl = value_of(sigma_vec[n]);
78  const T_partials_return scaled_diff = (y_dbl - mu_dbl) / sigma_dbl;
79  const T_partials_return inv_sigma = 1.0 / sigma_dbl;
80  if (y_dbl < mu_dbl) {
81  cdf_log += log_half + scaled_diff;
82 
84  operands_and_partials.d_x1[n] += inv_sigma;
86  operands_and_partials.d_x2[n] -= inv_sigma;
88  operands_and_partials.d_x3[n] -= scaled_diff * inv_sigma;
89  } else {
90  cdf_log += log1m(0.5 * exp(-scaled_diff));
91 
92  const T_partials_return rep_deriv = 1.0
93  / (2.0 * exp(scaled_diff) - 1.0);
95  operands_and_partials.d_x1[n] += rep_deriv * inv_sigma;
97  operands_and_partials.d_x2[n] -= rep_deriv * inv_sigma;
99  operands_and_partials.d_x3[n] -= rep_deriv * scaled_diff
100  * inv_sigma;
101  }
102  }
103  return operands_and_partials.value(cdf_log);
104  }
105  }
106 }
107 #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.
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
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
return_type< T_y, T_loc, T_scale >::type double_exponential_lcdf(const T_y &y, const T_loc &mu, const T_scale &sigma)
Returns the double exponential log cumulative density function.
size_t max_size(const T1 &x1, const T2 &x2)
Definition: max_size.hpp:9
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
fvar< T > log1m(const fvar< T > &x)
Definition: log1m.hpp:13
VectorView< T_return_type, false, true > d_x1

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