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logistic_cdf.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_LOGISTIC_CDF_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_LOGISTIC_CDF_HPP
3
4 #include <boost/random/exponential_distribution.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_finite.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/prob/logistic_log.hpp>
14 #include <stan/math/prim/scal/fun/log1p.hpp>
15 #include <stan/math/prim/scal/meta/length.hpp>
16 #include <stan/math/prim/scal/meta/is_constant_struct.hpp>
17 #include <stan/math/prim/scal/meta/VectorView.hpp>
18 #include <stan/math/prim/scal/meta/VectorBuilder.hpp>
19 #include <stan/math/prim/scal/meta/partials_return_type.hpp>
20 #include <stan/math/prim/scal/meta/return_type.hpp>
21 #include <stan/math/prim/scal/meta/include_summand.hpp>
22 #include <cmath>
23 #include <limits>
24
25 namespace stan {
26 namespace math {
27
28 // Logistic(y|mu, sigma) [sigma > 0]
29 template <typename T_y, typename T_loc, typename T_scale>
30 typename return_type<T_y, T_loc, T_scale>::type
31 logistic_cdf(const T_y& y, const T_loc& mu, const T_scale& sigma) {
32 typedef typename stan::partials_return_type<T_y, T_loc, T_scale>::type
33 T_partials_return;
34
35 // Size checks
36 if ( !( stan::length(y) && stan::length(mu)
37 && stan::length(sigma) ) )
38 return 1.0;
39
40 // Error checks
41 static const char* function("stan::math::logistic_cdf");
42
43 using stan::math::check_not_nan;
44 using stan::math::check_positive_finite;
45 using stan::math::check_finite;
46 using stan::math::check_consistent_sizes;
47 using stan::math::value_of;
48 using boost::math::tools::promote_args;
49 using std::exp;
50
51 T_partials_return P(1.0);
52
53 check_not_nan(function, "Random variable", y);
54 check_finite(function, "Location parameter", mu);
55 check_positive_finite(function, "Scale parameter", sigma);
56 check_consistent_sizes(function,
57 "Random variable", y,
58 "Location parameter", mu,
59 "Scale parameter", sigma);
60
61 // Wrap arguments in vectors
62 VectorView<const T_y> y_vec(y);
63 VectorView<const T_loc> mu_vec(mu);
64 VectorView<const T_scale> sigma_vec(sigma);
65 size_t N = max_size(y, mu, sigma);
66
67 OperandsAndPartials<T_y, T_loc, T_scale>
68 operands_and_partials(y, mu, sigma);
69
70 // Explicit return for extreme values
71 // The gradients are technically ill-defined, but treated as zero
72
73 for (size_t i = 0; i < stan::length(y); i++) {
74 if (value_of(y_vec[i]) == -std::numeric_limits<double>::infinity())
75 return operands_and_partials.to_var(0.0, y, mu, sigma);
76 }
77
78 // Compute vectorized CDF and its gradients
79 for (size_t n = 0; n < N; n++) {
80 // Explicit results for extreme values
81 // The gradients are technically ill-defined, but treated as zero
82 if (value_of(y_vec[n]) == std::numeric_limits<double>::infinity()) {
83 continue;
84 }
85
86 // Pull out values
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 const T_partials_return sigma_dbl = value_of(sigma_vec[n]);
90 const T_partials_return sigma_inv_vec = 1.0 / value_of(sigma_vec[n]);
91
92 // Compute
93 const T_partials_return Pn = 1.0 / (1.0 + exp(-(y_dbl - mu_dbl)
94 * sigma_inv_vec));
95
96 P *= Pn;
97
98 if (!is_constant_struct<T_y>::value)
99 operands_and_partials.d_x1[n]
100 += exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
101 if (!is_constant_struct<T_loc>::value)
102 operands_and_partials.d_x2[n]
103 += - exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
104 if (!is_constant_struct<T_scale>::value)
105 operands_and_partials.d_x3[n] += - (y_dbl - mu_dbl) * sigma_inv_vec
106 * exp(logistic_log(y_dbl, mu_dbl, sigma_dbl)) / Pn;
107 }
108
109 if (!is_constant_struct<T_y>::value) {
110 for (size_t n = 0; n < stan::length(y); ++n)
111 operands_and_partials.d_x1[n] *= P;
112 }
113 if (!is_constant_struct<T_loc>::value) {
114 for (size_t n = 0; n < stan::length(mu); ++n)
115 operands_and_partials.d_x2[n] *= P;
116 }
117 if (!is_constant_struct<T_scale>::value) {
118 for (size_t n = 0; n < stan::length(sigma); ++n)
119 operands_and_partials.d_x3[n] *= P;
120 }
121
122 return operands_and_partials.to_var(P, y, mu, sigma);
123 }
124 }
125 }
126 #endif
check_not_nan.hpp
stan::math::logistic_cdf
return_type< T_y, T_loc, T_scale >::type logistic_cdf(const T_y &y, const T_loc &mu, const T_scale &sigma)
Definition: logistic_cdf.hpp:31
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_finite.hpp
stan::math::value_of
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition: value_of.hpp:16
stan::length
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
stan::math::OperandsAndPartials::to_var
T_return_type to_var(T_partials_return logp, const T1 &x1=0, const T2 &x2=0, const T3 &x3=0, const T4 &x4=0, const T5 &x5=0, const T6 &x6=0)
Definition: OperandsAndPartials.hpp:322
return_type.hpp
VectorView.hpp
include_summand.hpp
stan::math::OperandsAndPartials::d_x1
VectorView< T_partials_return, is_vector< T1 >::value, is_constant_struct< T1 >::value > d_x1
Definition: OperandsAndPartials.hpp:253
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:16
logistic_log.hpp
stan::math::exp
fvar< T > exp(const fvar< T > &x)
Definition: exp.hpp:10
stan::math::OperandsAndPartials::d_x3
VectorView< T_partials_return, is_vector< T3 >::value, is_constant_struct< T3 >::value > d_x3
Definition: OperandsAndPartials.hpp:259
stan::math::OperandsAndPartials
A variable implementation that stores operands and derivatives with respect to the variable...
Definition: OperandsAndPartials.hpp:238
OperandsAndPartials.hpp
stan::max_size
size_t max_size(const T1 &x1, const T2 &x2)
Definition: max_size.hpp:9
VectorBuilder.hpp
partials_return_type.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
constants.hpp
stan::math::logistic_log
return_type< T_y, T_loc, T_scale >::type logistic_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
Definition: logistic_log.hpp:32
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::OperandsAndPartials::d_x2
VectorView< T_partials_return, is_vector< T2 >::value, is_constant_struct< T2 >::value > d_x2
Definition: OperandsAndPartials.hpp:256
log1p.hpp
is_constant_struct.hpp
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
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::check_positive_finite
bool check_positive_finite(const char *function, const char *name, const T_y &y)
Return true if y is positive and finite.
Definition: check_positive_finite.hpp:28

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