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gumbel_cdf.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_GUMBEL_CDF_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_GUMBEL_CDF_HPP
3
4 #include <boost/random/uniform_01.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_not_nan.hpp>
10 #include <stan/math/prim/scal/err/check_positive.hpp>
11 #include <stan/math/prim/scal/meta/length.hpp>
12 #include <stan/math/prim/scal/meta/is_constant_struct.hpp>
13 #include <stan/math/prim/scal/meta/VectorView.hpp>
14 #include <stan/math/prim/scal/meta/VectorBuilder.hpp>
15 #include <stan/math/prim/scal/meta/partials_return_type.hpp>
16 #include <stan/math/prim/scal/meta/return_type.hpp>
17 #include <stan/math/prim/scal/fun/constants.hpp>
18 #include <stan/math/prim/scal/meta/include_summand.hpp>
19 #include <stan/math/prim/scal/fun/value_of.hpp>
20 #include <cmath>
21
22 namespace stan {
23 namespace math {
24
25 template <typename T_y, typename T_loc, typename T_scale>
26 typename return_type<T_y, T_loc, T_scale>::type
27 gumbel_cdf(const T_y& y, const T_loc& mu, const T_scale& beta) {
28 static const char* function("gumbel_cdf");
29 typedef typename stan::partials_return_type<T_y, T_loc, T_scale>::type
30 T_partials_return;
31
32 using std::exp;
33
34 T_partials_return cdf(1.0);
35 if (!(stan::length(y)
36 && stan::length(mu)
37 && stan::length(beta)))
38 return cdf;
39
40 check_not_nan(function, "Random variable", y);
41 check_finite(function, "Location parameter", mu);
42 check_not_nan(function, "Scale parameter", beta);
43 check_positive(function, "Scale parameter", beta);
44 check_consistent_sizes(function,
45 "Random variable", y,
46 "Location parameter", mu,
47 "Scale parameter", beta);
48
49 OperandsAndPartials<T_y, T_loc, T_scale>
50 operands_and_partials(y, mu, beta);
51
52 VectorView<const T_y> y_vec(y);
53 VectorView<const T_loc> mu_vec(mu);
54 VectorView<const T_scale> beta_vec(beta);
55 size_t N = max_size(y, mu, beta);
56
57 for (size_t n = 0; n < N; n++) {
58 const T_partials_return y_dbl = value_of(y_vec[n]);
59 const T_partials_return mu_dbl = value_of(mu_vec[n]);
60 const T_partials_return beta_dbl = value_of(beta_vec[n]);
61 const T_partials_return scaled_diff = (y_dbl - mu_dbl) / beta_dbl;
62 const T_partials_return rep_deriv = exp(-scaled_diff
63 - exp(-scaled_diff))
64 / beta_dbl;
65 const T_partials_return cdf_ = exp(-exp(-scaled_diff));
66 cdf *= cdf_;
67
68 if (!is_constant_struct<T_y>::value)
69 operands_and_partials.d_x1[n] += rep_deriv / cdf_;
70 if (!is_constant_struct<T_loc>::value)
71 operands_and_partials.d_x2[n] -= rep_deriv / cdf_;
72 if (!is_constant_struct<T_scale>::value)
73 operands_and_partials.d_x3[n] -= rep_deriv * scaled_diff / cdf_;
74 }
75
76 if (!is_constant_struct<T_y>::value) {
77 for (size_t n = 0; n < stan::length(y); ++n)
78 operands_and_partials.d_x1[n] *= cdf;
79 }
80 if (!is_constant_struct<T_loc>::value) {
81 for (size_t n = 0; n < stan::length(mu); ++n)
82 operands_and_partials.d_x2[n] *= cdf;
83 }
84 if (!is_constant_struct<T_scale>::value) {
85 for (size_t n = 0; n < stan::length(beta); ++n)
86 operands_and_partials.d_x3[n] *= cdf;
87 }
88 return operands_and_partials.value(cdf);
89 }
90
91 }
92 }
93 #endif
94
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.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::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
stan::length
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
is_constant_struct.hpp
return_type.hpp
include_summand.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::exp
fvar< T > exp(const fvar< T > &x)
Definition: exp.hpp:10
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::gumbel_cdf
return_type< T_y, T_loc, T_scale >::type gumbel_cdf(const T_y &y, const T_loc &mu, const T_scale &beta)
Definition: gumbel_cdf.hpp:27
stan::math::check_positive
bool check_positive(const char *function, const char *name, const T_y &y)
Return true if y is positive.
Definition: check_positive.hpp:66
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
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
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
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::OperandsAndPartials::d_x1
VectorView< T_return_type, false, true > d_x1
Definition: OperandsAndPartials.hpp:38

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