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log_sum_exp.hpp
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1 #ifndef STAN_MATH_REV_ARR_FUN_LOG_SUM_EXP_HPP
2 #define STAN_MATH_REV_ARR_FUN_LOG_SUM_EXP_HPP
3
4 #include <stan/math/rev/core.hpp>
5 #include <stan/math/rev/scal/fun/calculate_chain.hpp>
6 #include <stan/math/prim/arr/fun/log_sum_exp.hpp>
7 #include <vector>
8 #include <limits>
9
10 namespace stan {
11 namespace math {
12
13 namespace {
14 double log_sum_exp_as_double(const std::vector<var>& x) {
15 using std::numeric_limits;
16 using std::exp;
17 using std::log;
18 double max = -numeric_limits<double>::infinity();
19 for (size_t i = 0; i < x.size(); ++i)
20 if (x[i] > max)
21 max = x[i].val();
22 double sum = 0.0;
23 for (size_t i = 0; i < x.size(); ++i)
24 if (x[i] != -numeric_limits<double>::infinity())
25 sum += exp(x[i].val() - max);
26 return max + log(sum);
27 }
28
29 class log_sum_exp_vector_vari : public op_vector_vari {
30 public:
31 explicit log_sum_exp_vector_vari(const std::vector<var>& x) :
32 op_vector_vari(log_sum_exp_as_double(x), x) {
33 }
34 void chain() {
35 for (size_t i = 0; i < size_; ++i) {
36 vis_[i]->adj_ += adj_ * calculate_chain(vis_[i]->val_, val_);
37 }
38 }
39 };
40 }
41
45 inline var log_sum_exp(const std::vector<var>& x) {
46 return var(new log_sum_exp_vector_vari(x));
47 }
48
49 }
50 }
51 #endif
stan::math::sum
fvar< T > sum(const std::vector< fvar< T > > &m)
Return the sum of the entries of the specified standard vector.
Definition: sum.hpp:20
core.hpp
stan
Definition: log_sum_exp.hpp:8
stan::math::log
fvar< T > log(const fvar< T > &x)
Definition: log.hpp:14
stan::math::var
Independent (input) and dependent (output) variables for gradients.
Definition: var.hpp:30
stan::math::log_sum_exp
fvar< T > log_sum_exp(const std::vector< fvar< T > > &v)
Definition: log_sum_exp.hpp:13
log_sum_exp.hpp
stan::math::exp
fvar< T > exp(const fvar< T > &x)
Definition: exp.hpp:10
size_
size_t size_
Definition: dot_self.hpp:18
stan::math::max
int max(const std::vector< int > &x)
Returns the maximum coefficient in the specified column vector.
Definition: max.hpp:22
calculate_chain.hpp
stan::math::calculate_chain
double calculate_chain(double x, double val)
Definition: calculate_chain.hpp:9

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