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normal_log.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_NORMAL_LOG_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_NORMAL_LOG_HPP
3
4 #include <stan/math/prim/scal/meta/is_constant_struct.hpp>
5 #include <stan/math/prim/scal/meta/partials_return_type.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/fun/constants.hpp>
12 #include <stan/math/prim/scal/fun/value_of.hpp>
13 #include <stan/math/prim/scal/meta/include_summand.hpp>
14 #include <stan/math/prim/scal/meta/VectorBuilder.hpp>
15 #include <stan/math/prim/scal/meta/max_size.hpp>
16 #include <boost/random/normal_distribution.hpp>
17 #include <boost/random/variate_generator.hpp>
18 #include <cmath>
19
20 namespace stan {
21 namespace math {
22
41 template <bool propto,
42 typename T_y, typename T_loc, typename T_scale>
43 typename return_type<T_y, T_loc, T_scale>::type
44 normal_log(const T_y& y, const T_loc& mu, const T_scale& sigma) {
45 static const char* function("normal_log");
46 typedef typename stan::partials_return_type<T_y, T_loc, T_scale>::type
47 T_partials_return;
48
49 using std::log;
50 using stan::is_constant_struct;
51 using std::log;
52
53 if (!(stan::length(y)
54 && stan::length(mu)
55 && stan::length(sigma)))
56 return 0.0;
57
58 T_partials_return logp(0.0);
59
60 check_not_nan(function, "Random variable", y);
61 check_finite(function, "Location parameter", mu);
62 check_positive(function, "Scale parameter", sigma);
63 check_consistent_sizes(function,
64 "Random variable", y,
65 "Location parameter", mu,
66 "Scale parameter", sigma);
67 if (!include_summand<propto, T_y, T_loc, T_scale>::value)
68 return 0.0;
69
70 OperandsAndPartials<T_y, T_loc, T_scale>
71 operands_and_partials(y, mu, sigma);
72
73 VectorView<const T_y> y_vec(y);
74 VectorView<const T_loc> mu_vec(mu);
75 VectorView<const T_scale> sigma_vec(sigma);
76 size_t N = max_size(y, mu, sigma);
77
78 VectorBuilder<true, T_partials_return, T_scale> inv_sigma(length(sigma));
79 VectorBuilder<include_summand<propto, T_scale>::value,
80 T_partials_return, T_scale> log_sigma(length(sigma));
81 for (size_t i = 0; i < length(sigma); i++) {
82 inv_sigma[i] = 1.0 / value_of(sigma_vec[i]);
83 if (include_summand<propto, T_scale>::value)
84 log_sigma[i] = log(value_of(sigma_vec[i]));
85 }
86
87 for (size_t n = 0; n < N; n++) {
88 const T_partials_return y_dbl = value_of(y_vec[n]);
89 const T_partials_return mu_dbl = value_of(mu_vec[n]);
90
91 const T_partials_return y_minus_mu_over_sigma
92 = (y_dbl - mu_dbl) * inv_sigma[n];
93 const T_partials_return y_minus_mu_over_sigma_squared
94 = y_minus_mu_over_sigma * y_minus_mu_over_sigma;
95
96 static double NEGATIVE_HALF = - 0.5;
97
98 if (include_summand<propto>::value)
99 logp += NEG_LOG_SQRT_TWO_PI;
100 if (include_summand<propto, T_scale>::value)
101 logp -= log_sigma[n];
102 if (include_summand<propto, T_y, T_loc, T_scale>::value)
103 logp += NEGATIVE_HALF * y_minus_mu_over_sigma_squared;
104
105 T_partials_return scaled_diff = inv_sigma[n] * y_minus_mu_over_sigma;
106 if (!is_constant_struct<T_y>::value)
107 operands_and_partials.d_x1[n] -= scaled_diff;
108 if (!is_constant_struct<T_loc>::value)
109 operands_and_partials.d_x2[n] += scaled_diff;
110 if (!is_constant_struct<T_scale>::value)
111 operands_and_partials.d_x3[n]
112 += -inv_sigma[n] + inv_sigma[n] * y_minus_mu_over_sigma_squared;
113 }
114 return operands_and_partials.value(logp);
115 }
116
117 template <typename T_y, typename T_loc, typename T_scale>
118 inline
119 typename return_type<T_y, T_loc, T_scale>::type
120 normal_log(const T_y& y, const T_loc& mu, const T_scale& sigma) {
121 return normal_log<false>(y, mu, sigma);
122 }
123
124 }
125 }
126 #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.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
stan::length
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
is_constant_struct.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
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
stan::math::OperandsAndPartials::d_x3
VectorView< T_return_type, false, true > d_x3
Definition: OperandsAndPartials.hpp:40
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
stan::math::NEG_LOG_SQRT_TWO_PI
const double NEG_LOG_SQRT_TWO_PI
Definition: constants.hpp:181
stan::math::normal_log
return_type< T_y, T_loc, T_scale >::type normal_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
The log of the normal density for the specified scalar(s) given the specified mean(s) and deviation(s...
Definition: normal_log.hpp:44
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
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
max_size.hpp

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