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skew_normal_log.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_SKEW_NORMAL_LOG_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_SKEW_NORMAL_LOG_HPP
3
4 #include <boost/random/variate_generator.hpp>
5 #include <boost/math/distributions.hpp>
6 #include <stan/math/prim/scal/meta/OperandsAndPartials.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/scal/err/check_positive.hpp>
10 #include <stan/math/prim/scal/err/check_consistent_sizes.hpp>
11 #include <stan/math/prim/scal/fun/owens_t.hpp>
12 #include <stan/math/prim/scal/fun/value_of.hpp>
13 #include <stan/math/prim/scal/meta/is_constant_struct.hpp>
14 #include <stan/math/prim/scal/meta/include_summand.hpp>
15 #include <stan/math/prim/scal/fun/constants.hpp>
16 #include <stan/math/prim/scal/meta/VectorBuilder.hpp>
17 #include <stan/math/prim/scal/meta/VectorView.hpp>
18 #include <cmath>
19
20 namespace stan {
21
22 namespace math {
23
24 template <bool propto,
25 typename T_y, typename T_loc, typename T_scale, typename T_shape>
26 typename return_type<T_y, T_loc, T_scale, T_shape>::type
27 skew_normal_log(const T_y& y, const T_loc& mu, const T_scale& sigma,
28 const T_shape& alpha) {
29 static const char* function("stan::math::skew_normal_log");
30 typedef typename stan::partials_return_type<T_y, T_loc,
31 T_scale, T_shape>::type
32 T_partials_return;
33
34 using std::log;
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::exp;
43
44 // check if any vectors are zero length
45 if (!(stan::length(y)
46 && stan::length(mu)
47 && stan::length(sigma)
48 && stan::length(alpha)))
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_finite(function, "Shape parameter", alpha);
58 check_positive(function, "Scale parameter", sigma);
59 check_consistent_sizes(function,
60 "Random variable", y,
61 "Location parameter", mu,
62 "Scale parameter", sigma,
63 "Shape paramter", alpha);
64
65 // check if no variables are involved and prop-to
66 if (!include_summand<propto, T_y, T_loc, T_scale, T_shape>::value)
67 return 0.0;
68
69 // set up template expressions wrapping scalars into vector views
70 OperandsAndPartials<T_y, T_loc, T_scale, T_shape>
71 operands_and_partials(y, mu, sigma, alpha);
72
73 using boost::math::erfc;
74 using boost::math::erf;
75 using std::log;
76
77 VectorView<const T_y> y_vec(y);
78 VectorView<const T_loc> mu_vec(mu);
79 VectorView<const T_scale> sigma_vec(sigma);
80 VectorView<const T_shape> alpha_vec(alpha);
81 size_t N = max_size(y, mu, sigma, alpha);
82
83 VectorBuilder<true, T_partials_return, T_scale> inv_sigma(length(sigma));
84 VectorBuilder<include_summand<propto, T_scale>::value,
85 T_partials_return, T_scale> log_sigma(length(sigma));
86 for (size_t i = 0; i < length(sigma); i++) {
87 inv_sigma[i] = 1.0 / value_of(sigma_vec[i]);
88 if (include_summand<propto, T_scale>::value)
89 log_sigma[i] = log(value_of(sigma_vec[i]));
90 }
91
92 for (size_t n = 0; n < N; n++) {
93 // pull out values of arguments
94 const T_partials_return y_dbl = value_of(y_vec[n]);
95 const T_partials_return mu_dbl = value_of(mu_vec[n]);
96 const T_partials_return sigma_dbl = value_of(sigma_vec[n]);
97 const T_partials_return alpha_dbl = value_of(alpha_vec[n]);
98
99 // reusable subexpression values
100 const T_partials_return y_minus_mu_over_sigma
101 = (y_dbl - mu_dbl) * inv_sigma[n];
102 const double pi_dbl = stan::math::pi();
103
104 // log probability
105 if (include_summand<propto>::value)
106 logp -= 0.5 * log(2.0 * pi_dbl);
107 if (include_summand<propto, T_scale>::value)
108 logp -= log(sigma_dbl);
109 if (include_summand<propto, T_y, T_loc, T_scale>::value)
110 logp -= y_minus_mu_over_sigma * y_minus_mu_over_sigma / 2.0;
111 if (include_summand<propto, T_y, T_loc, T_scale, T_shape>::value)
112 logp += log(erfc(-alpha_dbl * y_minus_mu_over_sigma
113 / std::sqrt(2.0)));
114
115 // gradients
116 T_partials_return deriv_logerf
117 = 2.0 / std::sqrt(pi_dbl)
118 * exp(-alpha_dbl * y_minus_mu_over_sigma / std::sqrt(2.0)
119 * alpha_dbl * y_minus_mu_over_sigma / std::sqrt(2.0))
120 / (1 + erf(alpha_dbl * y_minus_mu_over_sigma
121 / std::sqrt(2.0)));
122 if (!is_constant_struct<T_y>::value)
123 operands_and_partials.d_x1[n]
124 += -y_minus_mu_over_sigma / sigma_dbl
125 + deriv_logerf * alpha_dbl / (sigma_dbl * std::sqrt(2.0));
126 if (!is_constant_struct<T_loc>::value)
127 operands_and_partials.d_x2[n]
128 += y_minus_mu_over_sigma / sigma_dbl
129 + deriv_logerf * -alpha_dbl / (sigma_dbl * std::sqrt(2.0));
130 if (!is_constant_struct<T_scale>::value)
131 operands_and_partials.d_x3[n]
132 += -1.0 / sigma_dbl
133 + y_minus_mu_over_sigma * y_minus_mu_over_sigma / sigma_dbl
134 - deriv_logerf * y_minus_mu_over_sigma * alpha_dbl
135 / (sigma_dbl * std::sqrt(2.0));
136 if (!is_constant_struct<T_shape>::value)
137 operands_and_partials.d_x4[n]
138 += deriv_logerf * y_minus_mu_over_sigma / std::sqrt(2.0);
139 }
140 return operands_and_partials.to_var(logp, y, mu, sigma, alpha);
141 }
142
143 template <typename T_y, typename T_loc, typename T_scale, typename T_shape>
144 inline
145 typename return_type<T_y, T_loc, T_scale, T_shape>::type
146 skew_normal_log(const T_y& y, const T_loc& mu, const T_scale& sigma,
147 const T_shape& alpha) {
148 return skew_normal_log<false>(y, mu, sigma, alpha);
149 }
150 }
151 }
152 #endif
153
check_not_nan.hpp
stan::math::skew_normal_log
return_type< T_y, T_loc, T_scale, T_shape >::type skew_normal_log(const T_y &y, const T_loc &mu, const T_scale &sigma, const T_shape &alpha)
Definition: skew_normal_log.hpp:27
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::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::erf
fvar< T > erf(const fvar< T > &x)
Definition: erf.hpp:14
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
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
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
stan::partials_return_type
Definition: partials_return_type.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::d_x4
VectorView< T_partials_return, is_vector< T4 >::value, is_constant_struct< T4 >::value > d_x4
Definition: OperandsAndPartials.hpp:262
stan::math::OperandsAndPartials
A variable implementation that stores operands and derivatives with respect to the variable...
Definition: OperandsAndPartials.hpp:238
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
OperandsAndPartials.hpp
owens_t.hpp
stan::max_size
size_t max_size(const T1 &x1, const T2 &x2)
Definition: max_size.hpp:9
VectorBuilder.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
Definition: VectorBuilder.hpp:61
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
stan::math::OperandsAndPartials::d_x2
VectorView< T_partials_return, is_vector< T2 >::value, is_constant_struct< T2 >::value > d_x2
Definition: OperandsAndPartials.hpp:256
is_constant_struct.hpp
stan::math::erfc
fvar< T > erfc(const fvar< T > &x)
Definition: erfc.hpp:14
stan::math::pi
double pi()
Return the value of pi.
Definition: constants.hpp:86
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

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