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wiener_log.hpp
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1 // Copyright (c) 2013, Joachim Vandekerckhove.
2 // All rights reserved.
3 //
4 // Redistribution and use in source and binary forms, with or without
5 // modification, are permitted
6 // provided that the following conditions are met:
7 //
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9 // * this list of conditions and the following disclaimer.
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11 // * this list of conditions and the following disclaimer in the
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14 // * of its contributors may be used to endorse or promote products derived
15 // * from this software without specific prior written permission.
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17 // THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
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28
29 #ifndef STAN_MATH_PRIM_MAT_PROB_WIENER_LOG_HPP
30 #define STAN_MATH_PRIM_MAT_PROB_WIENER_LOG_HPP
31
32 #include <stan/math/prim/scal/fun/constants.hpp>
33 #include <stan/math/prim/scal/fun/square.hpp>
34 #include <stan/math/prim/scal/fun/value_of.hpp>
35 #include <stan/math/prim/scal/err/check_consistent_sizes.hpp>
36 #include <stan/math/prim/scal/err/check_bounded.hpp>
37 #include <stan/math/prim/scal/err/check_finite.hpp>
38 #include <stan/math/prim/scal/err/check_not_nan.hpp>
39 #include <stan/math/prim/scal/err/check_positive.hpp>
40 #include <stan/math/prim/scal/meta/return_type.hpp>
41 #include <stan/math/prim/scal/meta/include_summand.hpp>
42 #include <boost/math/distributions.hpp>
43 #include <cmath>
44 #include <algorithm> // for max
45
46 namespace stan {
47
48 namespace math {
49
64 template <bool propto,
65 typename T_y, typename T_alpha, typename T_tau,
66 typename T_beta, typename T_delta>
67 typename return_type<T_y, T_alpha, T_tau, T_beta, T_delta>::type
68 wiener_log(const T_y& y, const T_alpha& alpha, const T_tau& tau,
69 const T_beta& beta, const T_delta& delta) {
70 static const char* function("stan::math::wiener_log(%1%)");
71
72 using boost::math::tools::promote_args;
73 using boost::math::isinf;
74 using boost::math::isfinite;
75 using std::log;
76 using std::exp;
77 using std::pow;
78
79 static const double WIENER_ERR = 0.000001;
80 static const double PI_TIMES_WIENER_ERR = pi() * WIENER_ERR;
81 static const double LOG_PI_LOG_WIENER_ERR =
82 LOG_PI + log(WIENER_ERR);
83 static const double
84 TWO_TIMES_SQRT_2_TIMES_SQRT_PI_TIMES_WIENER_ERR =
85 2.0 * SQRT_2_TIMES_SQRT_PI * WIENER_ERR;
86 static const double LOG_TWO_OVER_TWO_PLUS_LOG_SQRT_PI =
87 LOG_TWO / 2 + LOG_SQRT_PI;
88 static const double SQUARE_PI_OVER_TWO = square(pi()) * 0.5;
89 static const double TWO_TIMES_LOG_SQRT_PI = 2.0 * LOG_SQRT_PI;
90
91 if (!(stan::length(y)
92 && stan::length(alpha)
93 && stan::length(beta)
94 && stan::length(tau)
95 && stan::length(delta)))
96 return 0.0;
97
98 typedef typename return_type<T_y, T_alpha, T_tau,
99 T_beta, T_delta>::type T_return_type;
100 T_return_type lp(0.0);
101
102 check_not_nan(function, "Random variable", y);
103 check_not_nan(function, "Boundary separation", alpha);
104 check_not_nan(function, "A-priori bias", beta);
105 check_not_nan(function, "Nondecision time", tau);
106 check_not_nan(function, "Drift rate", delta);
107 check_finite(function, "Boundary separation", alpha);
108 check_finite(function, "A-priori bias", beta);
109 check_finite(function, "Nondecision time", tau);
110 check_finite(function, "Drift rate", delta);
111 check_positive(function, "Random variable", y);
112 check_positive(function, "Boundary separation", alpha);
113 check_positive(function, "Nondecision time", tau);
114 check_bounded(function, "A-priori bias", beta , 0, 1);
115 check_consistent_sizes(function,
116 "Random variable", y,
117 "Boundary separation", alpha,
118 "A-priori bias", beta,
119 "Nondecision time", tau,
120 "Drift rate", delta);
121
122 size_t N =
123 std::max(max_size(y, alpha, beta), max_size(tau, delta));
124 if (!N)
125 return 0.0;
126 VectorView<const T_y> y_vec(y);
127 VectorView<const T_alpha> alpha_vec(alpha);
128 VectorView<const T_beta> beta_vec(beta);
129 VectorView<const T_tau> tau_vec(tau);
130 VectorView<const T_delta> delta_vec(delta);
131
132 if (!include_summand<propto, T_y, T_alpha, T_tau,
133 T_beta, T_delta>::value) {
134 return 0;
135 }
136
137 for (size_t i = 0; i < N; i++)
138 if (y_vec[i] < tau_vec[i]) {
139 lp = stan::math::negative_infinity();
140 return lp;
141 }
142
143 for (size_t i = 0; i < N; i++) {
144 typename scalar_type<T_beta>::type one_minus_beta
145 = 1.0 - beta_vec[i];
146 typename scalar_type<T_alpha>::type alpha2
147 = square(alpha_vec[i]);
148 T_return_type x = y_vec[i];
149 T_return_type kl, ks, tmp = 0;
150 T_return_type k, K;
151
152
153 x = x - tau_vec[i]; // remove non-decision time from x
154 x = x / alpha2; // convert t to normalized time tt
155 T_return_type sqrt_x = sqrt(x);
156 T_return_type log_x = log(x);
157 T_return_type one_over_pi_times_sqrt_x = 1.0 / pi() * sqrt_x;
158
159 // calculate number of terms needed for large t:
160 // if error threshold is set low enough
161 if (PI_TIMES_WIENER_ERR * x < 1) {
162 // compute bound
163 kl = sqrt(-2.0 * SQRT_PI *
164 (LOG_PI_LOG_WIENER_ERR + log_x)) /
165 sqrt_x;
166 // ensure boundary conditions met
167 kl = (kl > one_over_pi_times_sqrt_x) ?
168 kl : one_over_pi_times_sqrt_x;
169 } else { // if error threshold set too high
170 kl = one_over_pi_times_sqrt_x; // set to boundary condition
171 }
172 // calculate number of terms needed for small t:
173 // if error threshold is set low enough
174 T_return_type tmp_expr0
175 = TWO_TIMES_SQRT_2_TIMES_SQRT_PI_TIMES_WIENER_ERR * sqrt_x;
176 if (tmp_expr0 < 1) {
177 // compute bound
178 ks = 2.0 + sqrt_x * sqrt(-2 * log(tmp_expr0));
179 // ensure boundary conditions are met
180 T_return_type sqrt_x_plus_one = sqrt_x + 1.0;
181 ks = (ks > sqrt_x_plus_one) ? ks : sqrt_x_plus_one;
182 } else { // if error threshold was set too high
183 ks = 2.0; // minimal kappa for that case
184 }
185 // compute density: f(tt|0,1,w)
186 if (ks < kl) { // if small t is better (i.e., lambda<0)
187 K = ceil(ks); // round to smallest integer meeting error
188 T_return_type tmp_expr1 = (K - 1.0) / 2.0;
189 T_return_type tmp_expr2 = ceil(tmp_expr1);
190 for (k = -floor(tmp_expr1); k <= tmp_expr2; k++)
191 // increment sum
192 tmp += (one_minus_beta + 2.0 * k) *
193 exp(-(square(one_minus_beta + 2.0 * k)) * 0.5 / x);
194 // add constant term
195 tmp = log(tmp) -
196 LOG_TWO_OVER_TWO_PLUS_LOG_SQRT_PI - 1.5 * log_x;
197 } else { // if large t is better...
198 K = ceil(kl); // round to smallest integer meeting error
199 for (k = 1; k <= K; k++)
200 // increment sum
201 tmp += k * exp(-(square(k)) *
202 (SQUARE_PI_OVER_TWO * x)) *
203 sin(k * pi() * one_minus_beta);
204 tmp = log(tmp) +
205 TWO_TIMES_LOG_SQRT_PI; // add constant term
206 }
207
208 // convert to f(t|v,a,w) and return result
209 lp += delta_vec[i] * alpha_vec[i] * one_minus_beta -
210 square(delta_vec[i]) * x * alpha2 / 2.0 -
211 log(alpha2) + tmp;
212 }
213
214 return lp;
215 }
216
217 template <typename T_y, typename T_alpha, typename T_tau,
218 typename T_beta, typename T_delta>
219 inline
220 typename return_type<T_y, T_alpha, T_tau, T_beta, T_delta>::type
221 wiener_log(const T_y& y, const T_alpha& alpha, const T_tau& tau,
222 const T_beta& beta, const T_delta& delta) {
223 return wiener_log<false>(y, alpha, tau, beta, delta);
224 }
225 }
226 }
227 #endif
check_not_nan.hpp
stan::math::wiener_log
return_type< T_y, T_alpha, T_tau, T_beta, T_delta >::type wiener_log(const T_y &y, const T_alpha &alpha, const T_tau &tau, const T_beta &beta, const T_delta &delta)
The log of the first passage time density function for a (Wiener) drift diffusion model for the given...
Definition: wiener_log.hpp:68
boost::math::isfinite
bool isfinite(const stan::math::var &v)
Checks if the given number has finite value.
Definition: boost_isfinite.hpp:22
stan::math::sqrt
fvar< T > sqrt(const fvar< T > &x)
Definition: sqrt.hpp:15
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::math::LOG_PI
const double LOG_PI
Definition: constants.hpp:170
stan::math::log
fvar< T > log(const fvar< T > &x)
Definition: log.hpp:15
square.hpp
stan::math::LOG_SQRT_PI
const double LOG_SQRT_PI
Definition: constants.hpp:173
stan::length
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
stan::math::check_bounded
bool check_bounded(const char *function, const char *name, const T_y &y, const T_low &low, const T_high &high)
Return true if the value is between the low and high values, inclusively.
Definition: check_bounded.hpp:95
stan::return_type
Metaprogram to calculate the base scalar return type resulting from promoting all the scalar types of...
Definition: return_type.hpp:19
stan::scalar_type::type
scalar_type_helper< is_vector< T >::value, T >::type type
Definition: scalar_type.hpp:38
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
stan::math::square
fvar< T > square(const fvar< T > &x)
Definition: square.hpp:15
stan::math::LOG_TWO
const double LOG_TWO
Definition: constants.hpp:177
include_summand.hpp
stan::math::SQRT_2_TIMES_SQRT_PI
const double SQRT_2_TIMES_SQRT_PI
Definition: constants.hpp:158
boost::math::isinf
bool isinf(const stan::math::var &v)
Checks if the given number is infinite.
Definition: boost_isinf.hpp:22
stan::math::sin
fvar< T > sin(const fvar< T > &x)
Definition: sin.hpp:14
stan::math::exp
fvar< T > exp(const fvar< T > &x)
Definition: exp.hpp:10
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
stan::math::max
int max(const std::vector< int > &x)
Returns the maximum coefficient in the specified column vector.
Definition: max.hpp:21
check_bounded.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
constants.hpp
stan::math::floor
fvar< T > floor(const fvar< T > &x)
Definition: floor.hpp:11
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
stan::math::pi
double pi()
Return the value of pi.
Definition: constants.hpp:86
stan::math::pow
fvar< T > pow(const fvar< T > &x1, const fvar< T > &x2)
Definition: pow.hpp:18
value_of.hpp
stan::VectorView
VectorView is a template metaprogram that takes its argument and allows it to be used like a vector...
Definition: VectorView.hpp:41
check_consistent_sizes.hpp
stan::math::SQRT_PI
const double SQRT_PI
Definition: constants.hpp:156
stan::math::ceil
fvar< T > ceil(const fvar< T > &x)
Definition: ceil.hpp:11
stan::math::negative_infinity
double negative_infinity()
Return negative infinity.
Definition: constants.hpp:132

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