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gumbel_log.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_GUMBEL_LOG_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_GUMBEL_LOG_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
24 namespace math {
25
26 template <bool propto, typename T_y, typename T_loc, typename T_scale>
27 typename return_type<T_y, T_loc, T_scale>::type
28 gumbel_log(const T_y& y, const T_loc& mu, const T_scale& beta) {
29 static const char* function("stan::math::gumbel_log");
30 typedef typename stan::partials_return_type<T_y, T_loc, T_scale>::type
31 T_partials_return;
32
33 using std::log;
34 using std::exp;
35 using stan::is_constant_struct;
36 using stan::math::check_positive;
37 using stan::math::check_finite;
38 using stan::math::check_not_nan;
39 using stan::math::check_consistent_sizes;
40 using stan::math::value_of;
41 using stan::math::include_summand;
42 using std::log;
43 using std::exp;
44
45 // check if any vectors are zero length
46 if (!(stan::length(y)
47 && stan::length(mu)
48 && stan::length(beta)))
49 return 0.0;
50
51 // set up return value accumulator
52 T_partials_return logp(0.0);
53
54 // validate args (here done over var, which should be OK)
55 check_not_nan(function, "Random variable", y);
56 check_finite(function, "Location parameter", mu);
57 check_positive(function, "Scale parameter", beta);
58 check_consistent_sizes(function,
59 "Random variable", y,
60 "Location parameter", mu,
61 "Scale parameter", beta);
62
63 // check if no variables are involved and prop-to
64 if (!include_summand<propto, T_y, T_loc, T_scale>::value)
65 return 0.0;
66
67 // set up template expressions wrapping scalars into vector views
68 OperandsAndPartials<T_y, T_loc, T_scale>
69 operands_and_partials(y, mu, beta);
70
71 VectorView<const T_y> y_vec(y);
72 VectorView<const T_loc> mu_vec(mu);
73 VectorView<const T_scale> beta_vec(beta);
74 size_t N = max_size(y, mu, beta);
75
76 VectorBuilder<true, T_partials_return, T_scale> inv_beta(length(beta));
77 VectorBuilder<include_summand<propto, T_scale>::value,
78 T_partials_return, T_scale> log_beta(length(beta));
79 for (size_t i = 0; i < length(beta); i++) {
80 inv_beta[i] = 1.0 / value_of(beta_vec[i]);
81 if (include_summand<propto, T_scale>::value)
82 log_beta[i] = log(value_of(beta_vec[i]));
83 }
84
85 for (size_t n = 0; n < N; n++) {
86 // pull out values of arguments
87 const T_partials_return y_dbl = value_of(y_vec[n]);
88 const T_partials_return mu_dbl = value_of(mu_vec[n]);
89
90 // reusable subexpression values
91 const T_partials_return y_minus_mu_over_beta
92 = (y_dbl - mu_dbl) * inv_beta[n];
93
94 // log probability
95 if (include_summand<propto, T_scale>::value)
96 logp -= log_beta[n];
97 if (include_summand<propto, T_y, T_loc, T_scale>::value)
98 logp += -y_minus_mu_over_beta - exp(-y_minus_mu_over_beta);
99
100 // gradients
101 T_partials_return scaled_diff = inv_beta[n]
102 * exp(-y_minus_mu_over_beta);
103 if (!is_constant_struct<T_y>::value)
104 operands_and_partials.d_x1[n] -= inv_beta[n] - scaled_diff;
105 if (!is_constant_struct<T_loc>::value)
106 operands_and_partials.d_x2[n] += inv_beta[n] - scaled_diff;
107 if (!is_constant_struct<T_scale>::value)
108 operands_and_partials.d_x3[n]
109 += -inv_beta[n] + y_minus_mu_over_beta * inv_beta[n]
110 - scaled_diff * y_minus_mu_over_beta;
111 }
112 return operands_and_partials.value(logp);
113 }
114
115 template <typename T_y, typename T_loc, typename T_scale>
116 inline
117 typename return_type<T_y, T_loc, T_scale>::type
118 gumbel_log(const T_y& y, const T_loc& mu, const T_scale& beta) {
119 return gumbel_log<false>(y, mu, beta);
120 }
121 }
122 }
123 #endif
124
check_not_nan.hpp
stan::math::OperandsAndPartials::d_x2
VectorView< T_return_type, false, true > d_x2
Definition: OperandsAndPartials.hpp:40
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:63
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:15
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:68
stan::length
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
is_constant_struct.hpp
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:36
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::gumbel_log
return_type< T_y, T_loc, T_scale >::type gumbel_log(const T_y &y, const T_loc &mu, const T_scale &beta)
Definition: gumbel_log.hpp:28
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:38
VectorView.hpp
stan::math::OperandsAndPartials::d_x3
VectorView< T_return_type, false, true > d_x3
Definition: OperandsAndPartials.hpp:41
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:68
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:62
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:39

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