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double_exponential_cdf_log.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_DOUBLE_EXPONENTIAL_CDF_LOG_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_DOUBLE_EXPONENTIAL_CDF_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_finite.hpp>
11 #include <stan/math/prim/scal/fun/value_of.hpp>
12 #include <stan/math/prim/scal/fun/log1m.hpp>
13 #include <stan/math/prim/scal/fun/constants.hpp>
14 #include <stan/math/prim/scal/meta/include_summand.hpp>
15 #include <stan/math/prim/scal/fun/sign.hpp>
16 #include <cmath>
17
18 namespace stan {
19
20 namespace math {
21
22 template <typename T_y, typename T_loc, typename T_scale>
23 typename return_type<T_y, T_loc, T_scale>::type
24 double_exponential_cdf_log(const T_y& y, const T_loc& mu,
25 const T_scale& sigma) {
26 static const char* function("stan::math::double_exponential_cdf_log");
27 typedef typename stan::partials_return_type<T_y, T_loc, T_scale>::type
28 T_partials_return;
29
30 using stan::math::check_finite;
31 using stan::math::check_not_nan;
32 using stan::math::check_positive_finite;
33 using stan::math::check_consistent_sizes;
34 using stan::math::value_of;
35
36 T_partials_return cdf_log(0.0);
37
38 // check if any vectors are zero length
39 if (!(stan::length(y)
40 && stan::length(mu)
41 && stan::length(sigma)))
42 return cdf_log;
43
44 check_not_nan(function, "Random variable", y);
45 check_finite(function, "Location parameter", mu);
46 check_positive_finite(function, "Scale parameter", sigma);
47 check_consistent_sizes(function,
48 "Random variable", y,
49 "Location parameter", mu,
50 "Scale Parameter", sigma);
51
52 using std::log;
53 using std::exp;
54 using stan::math::log1m;
55 using std::exp;
56
57 OperandsAndPartials<T_y, T_loc, T_scale>
58 operands_and_partials(y, mu, sigma);
59
60 VectorView<const T_y> y_vec(y);
61 VectorView<const T_loc> mu_vec(mu);
62 VectorView<const T_scale> sigma_vec(sigma);
63 const double log_half = std::log(0.5);
64 size_t N = max_size(y, mu, sigma);
65
66 for (size_t n = 0; n < N; n++) {
67 const T_partials_return y_dbl = value_of(y_vec[n]);
68 const T_partials_return mu_dbl = value_of(mu_vec[n]);
69 const T_partials_return sigma_dbl = value_of(sigma_vec[n]);
70 const T_partials_return scaled_diff = (y_dbl - mu_dbl) / sigma_dbl;
71 const T_partials_return inv_sigma = 1.0 / sigma_dbl;
72 if (y_dbl < mu_dbl) {
73 // log cdf
74 cdf_log += log_half + scaled_diff;
75
76 // gradients
77 if (!is_constant_struct<T_y>::value)
78 operands_and_partials.d_x1[n] += inv_sigma;
79 if (!is_constant_struct<T_loc>::value)
80 operands_and_partials.d_x2[n] -= inv_sigma;
81 if (!is_constant_struct<T_scale>::value)
82 operands_and_partials.d_x3[n] -= scaled_diff * inv_sigma;
83 } else {
84 // log cdf
85 cdf_log += log1m(0.5 * exp(-scaled_diff));
86
87 // gradients
88 const T_partials_return rep_deriv = 1.0
89 / (2.0 * exp(scaled_diff) - 1.0);
90 if (!is_constant_struct<T_y>::value)
91 operands_and_partials.d_x1[n] += rep_deriv * inv_sigma;
92 if (!is_constant_struct<T_loc>::value)
93 operands_and_partials.d_x2[n] -= rep_deriv * inv_sigma;
94 if (!is_constant_struct<T_scale>::value)
95 operands_and_partials.d_x3[n] -= rep_deriv * scaled_diff
96 * inv_sigma;
97 }
98 }
99 return operands_and_partials.to_var(cdf_log, y, mu, sigma);
100 }
101 }
102 }
103 #endif
check_not_nan.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_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::math::log
fvar< T > log(const fvar< T > &x)
Definition: log.hpp:15
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
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
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
log1m.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
sign.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
stan::math::double_exponential_cdf_log
return_type< T_y, T_loc, T_scale >::type double_exponential_cdf_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
Definition: double_exponential_cdf_log.hpp:24
stan::math::OperandsAndPartials::d_x2
VectorView< T_partials_return, is_vector< T2 >::value, is_constant_struct< T2 >::value > d_x2
Definition: OperandsAndPartials.hpp:256
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
stan::math::log1m
fvar< T > log1m(const fvar< T > &x)
Definition: log1m.hpp:16

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