Stan Math Library  2.9.0
reverse mode automatic differentiation
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>
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");
28  T_partials_return;
29 
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 
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
78  operands_and_partials.d_x1[n] += inv_sigma;
80  operands_and_partials.d_x2[n] -= inv_sigma;
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);
91  operands_and_partials.d_x1[n] += rep_deriv * inv_sigma;
93  operands_and_partials.d_x2[n] -= rep_deriv * inv_sigma;
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
bool check_not_nan(const char *function, const char *name, const T_y &y)
Return true if y is not NaN.
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition: value_of.hpp:16
fvar< T > log(const fvar< T > &x)
Definition: log.hpp:15
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
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)
VectorView< T_partials_return, is_vector< T1 >::value, is_constant_struct< T1 >::value > d_x1
Metaprogram to determine if a type has a base scalar type that can be assigned to type double...
fvar< T > exp(const fvar< T > &x)
Definition: exp.hpp:10
VectorView< T_partials_return, is_vector< T3 >::value, is_constant_struct< T3 >::value > d_x3
A variable implementation that stores operands and derivatives with respect to the variable...
size_t max_size(const T1 &x1, const T2 &x2)
Definition: max_size.hpp:9
bool check_finite(const char *function, const char *name, const T_y &y)
Return true if y is finite.
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.
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)
VectorView< T_partials_return, is_vector< T2 >::value, is_constant_struct< T2 >::value > d_x2
VectorView is a template metaprogram that takes its argument and allows it to be used like a vector...
Definition: VectorView.hpp:41
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
bool check_positive_finite(const char *function, const char *name, const T_y &y)
Return true if y is positive and finite.
fvar< T > log1m(const fvar< T > &x)
Definition: log1m.hpp:16

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