Stan Math Library  2.11.0
reverse mode automatic differentiation
logistic_cdf_log.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_LOGISTIC_CDF_LOG_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_LOGISTIC_CDF_LOG_HPP
3 
4 #include <boost/random/exponential_distribution.hpp>
5 #include <boost/random/variate_generator.hpp>
22 #include <cmath>
23 #include <limits>
24 
25 namespace stan {
26  namespace math {
27 
28  template <typename T_y, typename T_loc, typename T_scale>
29  typename return_type<T_y, T_loc, T_scale>::type
30  logistic_cdf_log(const T_y& y, const T_loc& mu, const T_scale& sigma) {
32  T_partials_return;
33 
34  // Size checks
35  if ( !( stan::length(y) && stan::length(mu) && stan::length(sigma) ) )
36  return 0.0;
37 
38  // Error checks
39  static const char* function("stan::math::logistic_cdf_log");
40 
46  using boost::math::tools::promote_args;
47  using std::log;
48  using std::exp;
49 
50  T_partials_return P(0.0);
51 
52  check_not_nan(function, "Random variable", y);
53  check_finite(function, "Location parameter", mu);
54  check_positive_finite(function, "Scale parameter", sigma);
55  check_consistent_sizes(function,
56  "Random variable", y,
57  "Location parameter", mu,
58  "Scale parameter", sigma);
59 
60  // Wrap arguments in vectors
61  VectorView<const T_y> y_vec(y);
62  VectorView<const T_loc> mu_vec(mu);
63  VectorView<const T_scale> sigma_vec(sigma);
64  size_t N = max_size(y, mu, sigma);
65 
67  operands_and_partials(y, mu, sigma);
68 
69  // Explicit return for extreme values
70  // The gradients are technically ill-defined, but treated as zero
71 
72  for (size_t i = 0; i < stan::length(y); i++) {
73  if (value_of(y_vec[i]) == -std::numeric_limits<double>::infinity())
74  return operands_and_partials
75  .value(-std::numeric_limits<double>::infinity());
76  }
77 
78  // Compute vectorized cdf_log and its gradients
79  for (size_t n = 0; n < N; n++) {
80  // Explicit results for extreme values
81  // The gradients are technically ill-defined, but treated as zero
82  if (value_of(y_vec[n]) == std::numeric_limits<double>::infinity()) {
83  continue;
84  }
85 
86  // Pull out values
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  const T_partials_return sigma_dbl = value_of(sigma_vec[n]);
90  const T_partials_return sigma_inv_vec = 1.0 / value_of(sigma_vec[n]);
91 
92  // Compute
93  const T_partials_return Pn = 1.0 / (1.0 + exp(-(y_dbl - mu_dbl)
94  *sigma_inv_vec));
95  P += log(Pn);
96 
98  operands_and_partials.d_x1[n]
99  += exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
101  operands_and_partials.d_x2[n]
102  += - exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
104  operands_and_partials.d_x3[n] += - (y_dbl - mu_dbl) * sigma_inv_vec
105  * exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
106  }
107 
108  return operands_and_partials.value(P);
109  }
110  }
111 }
112 #endif
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
Metaprogram to determine if a type has a base scalar type that can be assigned to type double...
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
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.
return_type< T_y, T_loc, T_scale >::type logistic_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
return_type< T_y, T_loc, T_scale >::type logistic_cdf_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
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
bool check_positive_finite(const char *function, const char *name, const T_y &y)
Return true if y is positive and finite.
VectorView< T_return_type, false, true > d_x1

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