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logistic_cdf.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_LOGISTIC_CDF_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_LOGISTIC_CDF_HPP
3
4 #include <boost/random/exponential_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_not_nan.hpp>
10 #include <stan/math/prim/scal/err/check_positive_finite.hpp>
11 #include <stan/math/prim/scal/fun/constants.hpp>
12 #include <stan/math/prim/scal/fun/value_of.hpp>
13 #include <stan/math/prim/scal/prob/logistic_log.hpp>
14 #include <stan/math/prim/scal/fun/log1p.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/VectorView.hpp>
18 #include <stan/math/prim/scal/meta/VectorBuilder.hpp>
19 #include <stan/math/prim/scal/meta/partials_return_type.hpp>
20 #include <stan/math/prim/scal/meta/return_type.hpp>
21 #include <stan/math/prim/scal/meta/include_summand.hpp>
22 #include <cmath>
23 #include <limits>
24
25 namespace stan {
26 namespace math {
27
28 // Logistic(y|mu, sigma) [sigma > 0]
29 template <typename T_y, typename T_loc, typename T_scale>
30 typename return_type<T_y, T_loc, T_scale>::type
31 logistic_cdf(const T_y& y, const T_loc& mu, const T_scale& sigma) {
32 typedef typename stan::partials_return_type<T_y, T_loc, T_scale>::type
33 T_partials_return;
34
35 if ( !( stan::length(y) && stan::length(mu)
36 && stan::length(sigma) ) )
37 return 1.0;
38
39 static const char* function("logistic_cdf");
40
41 using boost::math::tools::promote_args;
42 using std::exp;
43
44 T_partials_return P(1.0);
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 VectorView<const T_y> y_vec(y);
55 VectorView<const T_loc> mu_vec(mu);
56 VectorView<const T_scale> sigma_vec(sigma);
57 size_t N = max_size(y, mu, sigma);
58
59 OperandsAndPartials<T_y, T_loc, T_scale>
60 operands_and_partials(y, mu, sigma);
61
62 // Explicit return for extreme values
63 // The gradients are technically ill-defined, but treated as zero
64 for (size_t i = 0; i < stan::length(y); i++) {
65 if (value_of(y_vec[i]) == -std::numeric_limits<double>::infinity())
66 return operands_and_partials.value(0.0);
67 }
68
69 for (size_t n = 0; n < N; n++) {
70 // Explicit results for extreme values
71 // The gradients are technically ill-defined, but treated as zero
72 if (value_of(y_vec[n]) == std::numeric_limits<double>::infinity()) {
73 continue;
74 }
75
76 const T_partials_return y_dbl = value_of(y_vec[n]);
77 const T_partials_return mu_dbl = value_of(mu_vec[n]);
78 const T_partials_return sigma_dbl = value_of(sigma_vec[n]);
79 const T_partials_return sigma_inv_vec = 1.0 / value_of(sigma_vec[n]);
80
81 const T_partials_return Pn = 1.0 / (1.0 + exp(-(y_dbl - mu_dbl)
82 * sigma_inv_vec));
83
84 P *= Pn;
85
86 if (!is_constant_struct<T_y>::value)
87 operands_and_partials.d_x1[n]
88 += exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
89 if (!is_constant_struct<T_loc>::value)
90 operands_and_partials.d_x2[n]
91 += - exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
92 if (!is_constant_struct<T_scale>::value)
93 operands_and_partials.d_x3[n] += - (y_dbl - mu_dbl) * sigma_inv_vec
94 * exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
95 }
96
97 if (!is_constant_struct<T_y>::value) {
98 for (size_t n = 0; n < stan::length(y); ++n)
99 operands_and_partials.d_x1[n] *= P;
100 }
101 if (!is_constant_struct<T_loc>::value) {
102 for (size_t n = 0; n < stan::length(mu); ++n)
103 operands_and_partials.d_x2[n] *= P;
104 }
105 if (!is_constant_struct<T_scale>::value) {
106 for (size_t n = 0; n < stan::length(sigma); ++n)
107 operands_and_partials.d_x3[n] *= P;
108 }
109 return operands_and_partials.value(P);
110 }
111
112 }
113 }
114 #endif
check_not_nan.hpp
stan::math::OperandsAndPartials::d_x2
VectorView< T_return_type, false, true > d_x2
Definition: OperandsAndPartials.hpp:39
stan::math::logistic_cdf
return_type< T_y, T_loc, T_scale >::type logistic_cdf(const T_y &y, const T_loc &mu, const T_scale &sigma)
Definition: logistic_cdf.hpp:31
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::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
logistic_log.hpp
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::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::logistic_log
return_type< T_y, T_loc, T_scale >::type logistic_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
Definition: logistic_log.hpp:31
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
log1p.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::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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