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lognormal_log.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_LOGNORMAL_LOG_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_LOGNORMAL_LOG_HPP
3
4 #include <boost/random/lognormal_distribution.hpp>
5 #include <boost/random/variate_generator.hpp>
6 #include <stan/math/prim/scal/meta/OperandsAndPartials.hpp>
7 #include <stan/math/prim/scal/err/check_consistent_sizes.hpp>
8 #include <stan/math/prim/scal/err/check_finite.hpp>
9 #include <stan/math/prim/scal/err/check_nonnegative.hpp>
10 #include <stan/math/prim/scal/err/check_not_nan.hpp>
11 #include <stan/math/prim/scal/err/check_positive_finite.hpp>
12 #include <stan/math/prim/scal/fun/constants.hpp>
13 #include <stan/math/prim/scal/fun/value_of.hpp>
14 #include <stan/math/prim/scal/fun/square.hpp>
15 #include <stan/math/prim/scal/meta/length.hpp>
16 #include <stan/math/prim/scal/meta/is_constant_struct.hpp>
17 #include <stan/math/prim/scal/meta/contains_nonconstant_struct.hpp>
18 #include <stan/math/prim/scal/meta/VectorView.hpp>
19 #include <stan/math/prim/scal/meta/VectorBuilder.hpp>
20 #include <stan/math/prim/scal/meta/partials_return_type.hpp>
21 #include <stan/math/prim/scal/meta/return_type.hpp>
22 #include <stan/math/prim/scal/meta/include_summand.hpp>
23 #include <cmath>
24
25 namespace stan {
26 namespace math {
27
28 // LogNormal(y|mu, sigma) [y >= 0; sigma > 0]
29 template <bool propto,
30 typename T_y, typename T_loc, typename T_scale>
31 typename return_type<T_y, T_loc, T_scale>::type
32 lognormal_log(const T_y& y, const T_loc& mu, const T_scale& sigma) {
33 static const char* function("lognormal_log");
34 typedef typename stan::partials_return_type<T_y, T_loc, T_scale>::type
35 T_partials_return;
36
37 using stan::is_constant_struct;
38
39 if (!(stan::length(y)
40 && stan::length(mu)
41 && stan::length(sigma)))
42 return 0.0;
43
44 T_partials_return logp(0.0);
45
46 check_not_nan(function, "Random variable", y);
47 check_nonnegative(function, "Random variable", y);
48 check_finite(function, "Location parameter", mu);
49 check_positive_finite(function, "Scale parameter", sigma);
50 check_consistent_sizes(function,
51 "Random variable", y,
52 "Location parameter", mu,
53 "Scale parameter", sigma);
54
55 VectorView<const T_y> y_vec(y);
56 VectorView<const T_loc> mu_vec(mu);
57 VectorView<const T_scale> sigma_vec(sigma);
58 size_t N = max_size(y, mu, sigma);
59
60 for (size_t n = 0; n < length(y); n++)
61 if (value_of(y_vec[n]) <= 0)
62 return LOG_ZERO;
63
64 OperandsAndPartials<T_y, T_loc, T_scale>
65 operands_and_partials(y, mu, sigma);
66
67 using std::log;
68 using std::log;
69
70 VectorBuilder<include_summand<propto, T_scale>::value,
71 T_partials_return, T_scale> log_sigma(length(sigma));
72 if (include_summand<propto, T_scale>::value) {
73 for (size_t n = 0; n < length(sigma); n++)
74 log_sigma[n] = log(value_of(sigma_vec[n]));
75 }
76
77 VectorBuilder<include_summand<propto, T_y, T_loc, T_scale>::value,
78 T_partials_return, T_scale> inv_sigma(length(sigma));
79 VectorBuilder<include_summand<propto, T_y, T_loc, T_scale>::value,
80 T_partials_return, T_scale> inv_sigma_sq(length(sigma));
81 if (include_summand<propto, T_y, T_loc, T_scale>::value) {
82 for (size_t n = 0; n < length(sigma); n++)
83 inv_sigma[n] = 1 / value_of(sigma_vec[n]);
84 }
85 if (include_summand<propto, T_y, T_loc, T_scale>::value) {
86 for (size_t n = 0; n < length(sigma); n++)
87 inv_sigma_sq[n] = inv_sigma[n] * inv_sigma[n];
88 }
89
90 VectorBuilder<include_summand<propto, T_y, T_loc, T_scale>::value,
91 T_partials_return, T_y> log_y(length(y));
92 if (include_summand<propto, T_y, T_loc, T_scale>::value) {
93 for (size_t n = 0; n < length(y); n++)
94 log_y[n] = log(value_of(y_vec[n]));
95 }
96
97 VectorBuilder<!is_constant_struct<T_y>::value,
98 T_partials_return, T_y> inv_y(length(y));
99 if (!is_constant_struct<T_y>::value) {
100 for (size_t n = 0; n < length(y); n++)
101 inv_y[n] = 1 / value_of(y_vec[n]);
102 }
103
104 if (include_summand<propto>::value)
105 logp += N * NEG_LOG_SQRT_TWO_PI;
106
107 for (size_t n = 0; n < N; n++) {
108 const T_partials_return mu_dbl = value_of(mu_vec[n]);
109
110 T_partials_return logy_m_mu(0);
111 if (include_summand<propto, T_y, T_loc, T_scale>::value)
112 logy_m_mu = log_y[n] - mu_dbl;
113
114 T_partials_return logy_m_mu_sq = logy_m_mu * logy_m_mu;
115 T_partials_return logy_m_mu_div_sigma(0);
116 if (contains_nonconstant_struct<T_y, T_loc, T_scale>::value)
117 logy_m_mu_div_sigma = logy_m_mu * inv_sigma_sq[n];
118
119 if (include_summand<propto, T_scale>::value)
120 logp -= log_sigma[n];
121 if (include_summand<propto, T_y>::value)
122 logp -= log_y[n];
123 if (include_summand<propto, T_y, T_loc, T_scale>::value)
124 logp -= 0.5 * logy_m_mu_sq * inv_sigma_sq[n];
125
126 if (!is_constant_struct<T_y>::value)
127 operands_and_partials.d_x1[n] -= (1 + logy_m_mu_div_sigma) * inv_y[n];
128 if (!is_constant_struct<T_loc>::value)
129 operands_and_partials.d_x2[n] += logy_m_mu_div_sigma;
130 if (!is_constant_struct<T_scale>::value)
131 operands_and_partials.d_x3[n]
132 += (logy_m_mu_div_sigma * logy_m_mu - 1) * inv_sigma[n];
133 }
134 return operands_and_partials.value(logp);
135 }
136
137 template <typename T_y, typename T_loc, typename T_scale>
138 inline
139 typename return_type<T_y, T_loc, T_scale>::type
140 lognormal_log(const T_y& y, const T_loc& mu, const T_scale& sigma) {
141 return lognormal_log<false>(y, mu, sigma);
142 }
143
144 }
145 }
146 #endif
check_not_nan.hpp
stan::math::OperandsAndPartials::d_x2
VectorView< T_return_type, false, true > d_x2
Definition: OperandsAndPartials.hpp:39
stan::math::check_not_nan
bool check_not_nan(const char *function, const char *name, const T_y &y)
Return true if y is not NaN.
Definition: check_not_nan.hpp:60
check_positive_finite.hpp
stan
Definition: log_sum_exp.hpp:8
stan::math::value_of
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition: value_of.hpp:16
stan::math::log
fvar< T > log(const fvar< T > &x)
Definition: log.hpp:14
stan::math::OperandsAndPartials::value
T_return_type value(double value)
Returns a T_return_type with the value specified with the partial derivatves.
Definition: OperandsAndPartials.hpp:67
square.hpp
contains_nonconstant_struct.hpp
stan::length
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
is_constant_struct.hpp
stan::math::LOG_ZERO
const double LOG_ZERO
Definition: constants.hpp:172
return_type.hpp
stan::math::include_summand
Template metaprogram to calculate whether a summand needs to be included in a proportional (log) prob...
Definition: include_summand.hpp:35
stan::return_type::type
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
include_summand.hpp
check_nonnegative.hpp
stan::is_constant_struct
Metaprogram to determine if a type has a base scalar type that can be assigned to type double...
Definition: is_constant_struct.hpp:13
stan::math::OperandsAndPartials
This class builds partial derivatives with respect to a set of operands.
Definition: OperandsAndPartials.hpp:37
VectorView.hpp
stan::math::OperandsAndPartials::d_x3
VectorView< T_return_type, false, true > d_x3
Definition: OperandsAndPartials.hpp:40
stan::math::lognormal_log
return_type< T_y, T_loc, T_scale >::type lognormal_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
Definition: lognormal_log.hpp:32
stan::max_size
size_t max_size(const T1 &x1, const T2 &x2)
Definition: max_size.hpp:9
VectorBuilder.hpp
partials_return_type.hpp
OperandsAndPartials.hpp
stan::math::NEG_LOG_SQRT_TWO_PI
const double NEG_LOG_SQRT_TWO_PI
Definition: constants.hpp:181
stan::contains_nonconstant_struct
Definition: contains_nonconstant_struct.hpp:14
length.hpp
stan::math::check_finite
bool check_finite(const char *function, const char *name, const T_y &y)
Return true if y is finite.
Definition: check_finite.hpp:60
stan::VectorBuilder
VectorBuilder allocates type T1 values to be used as intermediate values.
Definition: VectorBuilder.hpp:28
constants.hpp
stan::math::check_consistent_sizes
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.
Definition: check_consistent_sizes.hpp:31
check_finite.hpp
stan::math::check_nonnegative
bool check_nonnegative(const char *function, const char *name, const T_y &y)
Return true if y is non-negative.
Definition: check_nonnegative.hpp:64
value_of.hpp
stan::VectorView
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
stan::partials_return_type::type
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
Definition: partials_return_type.hpp:26
check_consistent_sizes.hpp
stan::math::check_positive_finite
bool check_positive_finite(const char *function, const char *name, const T_y &y)
Return true if y is positive and finite.
Definition: check_positive_finite.hpp:28
stan::math::OperandsAndPartials::d_x1
VectorView< T_return_type, false, true > d_x1
Definition: OperandsAndPartials.hpp:38

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