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multi_normal_cholesky_log.hpp
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1 #ifndef STAN_MATH_PRIM_MAT_PROB_MULTI_NORMAL_CHOLESKY_LOG_HPP
2 #define STAN_MATH_PRIM_MAT_PROB_MULTI_NORMAL_CHOLESKY_LOG_HPP
3
4 #include <boost/random/normal_distribution.hpp>
5 #include <boost/random/variate_generator.hpp>
6 #include <stan/math/prim/scal/err/check_size_match.hpp>
7 #include <stan/math/prim/scal/err/check_finite.hpp>
8 #include <stan/math/prim/scal/err/check_not_nan.hpp>
9 #include <stan/math/prim/mat/fun/columns_dot_product.hpp>
10 #include <stan/math/prim/mat/fun/columns_dot_self.hpp>
11 #include <stan/math/prim/mat/fun/dot_product.hpp>
12 #include <stan/math/prim/mat/fun/dot_self.hpp>
13 #include <stan/math/prim/mat/fun/log.hpp>
14 #include <stan/math/prim/mat/fun/log_determinant.hpp>
15 #include <stan/math/prim/mat/fun/mdivide_left_spd.hpp>
16 #include <stan/math/prim/mat/fun/mdivide_left_tri_low.hpp>
17 #include <stan/math/prim/mat/fun/multiply.hpp>
18 #include <stan/math/prim/mat/fun/subtract.hpp>
19 #include <stan/math/prim/mat/fun/sum.hpp>
20 #include <stan/math/prim/scal/meta/VectorViewMvt.hpp>
21 #include <stan/math/prim/scal/meta/max_size_mvt.hpp>
22 #include <stan/math/prim/scal/fun/constants.hpp>
23 #include <stan/math/prim/scal/meta/include_summand.hpp>
24
25 namespace stan {
26
27 namespace math {
28 using Eigen::Dynamic;
29
47 template <bool propto,
48 typename T_y, typename T_loc, typename T_covar>
49 typename return_type<T_y, T_loc, T_covar>::type
50 multi_normal_cholesky_log(const T_y& y,
51 const T_loc& mu,
52 const T_covar& L) {
53 static const char* function("stan::math::multi_normal_cholesky_log");
54 typedef typename scalar_type<T_covar>::type T_covar_elem;
55 typedef typename return_type<T_y, T_loc, T_covar>::type lp_type;
56 lp_type lp(0.0);
57
58 using stan::math::mdivide_left_tri_low;
59 using stan::math::dot_self;
60 using stan::math::multiply;
61 using stan::math::subtract;
62 using stan::math::sum;
63
64 using stan::math::check_size_match;
65 using stan::math::check_finite;
66 using stan::math::check_not_nan;
67
68 VectorViewMvt<const T_y> y_vec(y);
69 VectorViewMvt<const T_loc> mu_vec(mu);
70 // size of std::vector of Eigen vectors
71 size_t size_vec = max_size_mvt(y, mu);
72
73 // Check if every vector of the array has the same size
74 int size_y = y_vec[0].size();
75 int size_mu = mu_vec[0].size();
76 if (size_vec > 1) {
77 int size_y_old = size_y;
78 int size_y_new;
79 for (size_t i = 1, size_ = length_mvt(y); i < size_; i++) {
80 int size_y_new = y_vec[i].size();
81 check_size_match(function,
82 "Size of one of the vectors of "
83 "the random variable", size_y_new,
84 "Size of another vector of the "
85 "random variable", size_y_old);
86 size_y_old = size_y_new;
87 }
88 int size_mu_old = size_mu;
89 int size_mu_new;
90 for (size_t i = 1, size_ = length_mvt(mu); i < size_; i++) {
91 int size_mu_new = mu_vec[i].size();
92 check_size_match(function,
93 "Size of one of the vectors of "
94 "the location variable", size_mu_new,
95 "Size of another vector of the "
96 "location variable", size_mu_old);
97 size_mu_old = size_mu_new;
98 }
99 (void) size_y_old;
100 (void) size_y_new;
101 (void) size_mu_old;
102 (void) size_mu_new;
103 }
104
105 check_size_match(function,
106 "Size of random variable", size_y,
107 "size of location parameter", size_mu);
108 check_size_match(function,
109 "Size of random variable", size_y,
110 "rows of covariance parameter", L.rows());
111 check_size_match(function,
112 "Size of random variable", size_y,
113 "columns of covariance parameter", L.cols());
114
115 for (size_t i = 0; i < size_vec; i++) {
116 check_finite(function, "Location parameter", mu_vec[i]);
117 check_not_nan(function, "Random variable", y_vec[i]);
118 }
119
120 if (size_y == 0)
121 return lp;
122
123 if (include_summand<propto>::value)
124 lp += NEG_LOG_SQRT_TWO_PI * size_y * size_vec;
125
126 if (include_summand<propto, T_covar_elem>::value)
127 lp -= L.diagonal().array().log().sum() * size_vec;
128
129 if (include_summand<propto, T_y, T_loc, T_covar_elem>::value) {
130 lp_type sum_lp_vec(0.0);
131 for (size_t i = 0; i < size_vec; i++) {
132 Eigen::Matrix<typename return_type<T_y, T_loc>::type, Dynamic, 1>
133 y_minus_mu(size_y);
134 for (int j = 0; j < size_y; j++)
135 y_minus_mu(j) = y_vec[i](j)-mu_vec[i](j);
136 Eigen::Matrix<typename return_type<T_y, T_loc, T_covar>::type,
137 Dynamic, 1>
138 half(mdivide_left_tri_low(L, y_minus_mu));
139 // FIXME: this code does not compile. revert after fixing subtract()
140 // Eigen::Matrix<typename
141 // boost::math::tools::promote_args<T_covar,
142 // typename value_type<T_loc>::type,
143 // typename value_type<T_y>::type>::type>::type,
144 // Dynamic, 1>
145 // half(mdivide_left_tri_low(L, subtract(y, mu)));
146 sum_lp_vec += dot_self(half);
147 }
148 lp -= 0.5*sum_lp_vec;
149 }
150 return lp;
151 }
152
153 template <typename T_y, typename T_loc, typename T_covar>
154 inline
155 typename return_type<T_y, T_loc, T_covar>::type
156 multi_normal_cholesky_log(const T_y& y, const T_loc& mu, const T_covar& L) {
157 return multi_normal_cholesky_log<false>(y, mu, L);
158 }
159
160 }
161 }
162
163 #endif
check_not_nan.hpp
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
multiply.hpp
max_size_mvt.hpp
stan::max_size_mvt
size_t max_size_mvt(const T1 &x1, const T2 &x2)
Definition: max_size_mvt.hpp:10
mdivide_left_spd.hpp
log_determinant.hpp
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_size_match.hpp
stan::math::subtract
Eigen::Matrix< typename boost::math::tools::promote_args< T1, T2 >::type, R, C > subtract(const Eigen::Matrix< T1, R, C > &m1, const Eigen::Matrix< T2, R, C > &m2)
Return the result of subtracting the second specified matrix from the first specified matrix...
Definition: subtract.hpp:27
VectorViewMvt.hpp
stan::math::multiply
Eigen::Matrix< fvar< T >, R1, C1 > multiply(const Eigen::Matrix< fvar< T >, R1, C1 > &m, const fvar< T > &c)
Definition: multiply.hpp:20
stan::scalar_type::type
scalar_type_helper< is_vector< T >::value, T >::type type
Definition: scalar_type.hpp:38
stan::math::dot_self
fvar< T > dot_self(const Eigen::Matrix< fvar< T >, R, C > &v)
Definition: dot_self.hpp:16
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
log.hpp
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
columns_dot_product.hpp
stan::math::multi_normal_cholesky_log
return_type< T_y, T_loc, T_covar >::type multi_normal_cholesky_log(const T_y &y, const T_loc &mu, const T_covar &L)
The log of the multivariate normal density for the given y, mu, and a Cholesky factor L of the varian...
Definition: multi_normal_cholesky_log.hpp:50
size_
size_t size_
Definition: dot_self.hpp:18
stan::math::check_size_match
bool check_size_match(const char *function, const char *name_i, T_size1 i, const char *name_j, T_size2 j)
Return true if the provided sizes match.
Definition: check_size_match.hpp:30
stan::length_mvt
size_t length_mvt(const T &)
Definition: length_mvt.hpp:12
dot_product.hpp
stan::math::NEG_LOG_SQRT_TWO_PI
const double NEG_LOG_SQRT_TWO_PI
Definition: constants.hpp:184
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
constants.hpp
check_finite.hpp
stan::math::mdivide_left_tri_low
Eigen::Matrix< fvar< T >, R1, C1 > mdivide_left_tri_low(const Eigen::Matrix< fvar< T >, R1, C1 > &A, const Eigen::Matrix< fvar< T >, R2, C2 > &b)
Definition: mdivide_left_tri_low.hpp:22
sum.hpp
stan::VectorViewMvt
Definition: VectorViewMvt.hpp:16
dot_self.hpp
columns_dot_self.hpp
subtract.hpp
mdivide_left_tri_low.hpp

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