Stan Math Library  2.10.0
reverse mode automatic differentiation
double_exponential_cdf_log.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_DOUBLE_EXPONENTIAL_CDF_LOG_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_DOUBLE_EXPONENTIAL_CDF_LOG_HPP
3 
16 #include <boost/random/uniform_01.hpp>
17 #include <boost/random/variate_generator.hpp>
18 #include <cmath>
19 
20 namespace stan {
21 
22  namespace math {
23 
24  template <typename T_y, typename T_loc, typename T_scale>
25  typename return_type<T_y, T_loc, T_scale>::type
26  double_exponential_cdf_log(const T_y& y, const T_loc& mu,
27  const T_scale& sigma) {
28  static const char* function("stan::math::double_exponential_cdf_log");
30  T_partials_return;
31 
37 
38  T_partials_return cdf_log(0.0);
39 
40  // check if any vectors are zero length
41  if (!(stan::length(y)
42  && stan::length(mu)
43  && stan::length(sigma)))
44  return cdf_log;
45 
46  check_not_nan(function, "Random variable", y);
47  check_finite(function, "Location parameter", mu);
48  check_positive_finite(function, "Scale parameter", sigma);
49  check_consistent_sizes(function,
50  "Random variable", y,
51  "Location parameter", mu,
52  "Scale Parameter", sigma);
53 
54  using std::log;
55  using std::exp;
56  using stan::math::log1m;
57  using std::exp;
58 
60  operands_and_partials(y, mu, sigma);
61 
62  VectorView<const T_y> y_vec(y);
63  VectorView<const T_loc> mu_vec(mu);
64  VectorView<const T_scale> sigma_vec(sigma);
65  const double log_half = std::log(0.5);
66  size_t N = max_size(y, mu, sigma);
67 
68  for (size_t n = 0; n < N; n++) {
69  const T_partials_return y_dbl = value_of(y_vec[n]);
70  const T_partials_return mu_dbl = value_of(mu_vec[n]);
71  const T_partials_return sigma_dbl = value_of(sigma_vec[n]);
72  const T_partials_return scaled_diff = (y_dbl - mu_dbl) / sigma_dbl;
73  const T_partials_return inv_sigma = 1.0 / sigma_dbl;
74  if (y_dbl < mu_dbl) {
75  // log cdf
76  cdf_log += log_half + scaled_diff;
77 
78  // gradients
80  operands_and_partials.d_x1[n] += inv_sigma;
82  operands_and_partials.d_x2[n] -= inv_sigma;
84  operands_and_partials.d_x3[n] -= scaled_diff * inv_sigma;
85  } else {
86  // log cdf
87  cdf_log += log1m(0.5 * exp(-scaled_diff));
88 
89  // gradients
90  const T_partials_return rep_deriv = 1.0
91  / (2.0 * exp(scaled_diff) - 1.0);
93  operands_and_partials.d_x1[n] += rep_deriv * inv_sigma;
95  operands_and_partials.d_x2[n] -= rep_deriv * inv_sigma;
97  operands_and_partials.d_x3[n] -= rep_deriv * scaled_diff
98  * inv_sigma;
99  }
100  }
101  return operands_and_partials.value(cdf_log);
102  }
103  }
104 }
105 #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.
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.
return_type< T_y, T_loc, T_scale >::type double_exponential_cdf_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
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.
fvar< T > log1m(const fvar< T > &x)
Definition: log1m.hpp:16
VectorView< T_return_type, false, true > d_x1

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