Stan Math Library  2.14.0
reverse mode automatic differentiation
lognormal_lpdf.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_LOGNORMAL_LPDF_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_LOGNORMAL_LPDF_HPP
3 
4 #include <boost/random/lognormal_distribution.hpp>
5 #include <boost/random/variate_generator.hpp>
23 #include <cmath>
24 
25 namespace stan {
26  namespace math {
27 
28  // LogNormal(y|mu, sigma) [y >= 0; sigma > 0]
29  template <bool propto,
30  typename T_y, typename T_loc, typename T_scale>
32  lognormal_lpdf(const T_y& y, const T_loc& mu, const T_scale& sigma) {
33  static const char* function("lognormal_lpdf");
35  T_partials_return;
36 
38 
39  if (!(stan::length(y)
40  && stan::length(mu)
41  && stan::length(sigma)))
42  return 0.0;
43 
44  T_partials_return logp(0.0);
45 
46  check_not_nan(function, "Random variable", y);
47  check_nonnegative(function, "Random variable", y);
48  check_finite(function, "Location parameter", mu);
49  check_positive_finite(function, "Scale parameter", sigma);
50  check_consistent_sizes(function,
51  "Random variable", y,
52  "Location parameter", mu,
53  "Scale parameter", sigma);
54 
55  VectorView<const T_y> y_vec(y);
56  VectorView<const T_loc> mu_vec(mu);
57  VectorView<const T_scale> sigma_vec(sigma);
58  size_t N = max_size(y, mu, sigma);
59 
60  for (size_t n = 0; n < length(y); n++)
61  if (value_of(y_vec[n]) <= 0)
62  return LOG_ZERO;
63 
65  operands_and_partials(y, mu, sigma);
66 
67  using std::log;
68  using std::log;
69 
71  T_partials_return, T_scale> log_sigma(length(sigma));
73  for (size_t n = 0; n < length(sigma); n++)
74  log_sigma[n] = log(value_of(sigma_vec[n]));
75  }
76 
78  T_partials_return, T_scale> inv_sigma(length(sigma));
80  T_partials_return, T_scale> inv_sigma_sq(length(sigma));
82  for (size_t n = 0; n < length(sigma); n++)
83  inv_sigma[n] = 1 / value_of(sigma_vec[n]);
84  }
86  for (size_t n = 0; n < length(sigma); n++)
87  inv_sigma_sq[n] = inv_sigma[n] * inv_sigma[n];
88  }
89 
91  T_partials_return, T_y> log_y(length(y));
93  for (size_t n = 0; n < length(y); n++)
94  log_y[n] = log(value_of(y_vec[n]));
95  }
96 
98  T_partials_return, T_y> inv_y(length(y));
100  for (size_t n = 0; n < length(y); n++)
101  inv_y[n] = 1 / value_of(y_vec[n]);
102  }
103 
105  logp += N * NEG_LOG_SQRT_TWO_PI;
106 
107  for (size_t n = 0; n < N; n++) {
108  const T_partials_return mu_dbl = value_of(mu_vec[n]);
109 
110  T_partials_return logy_m_mu(0);
112  logy_m_mu = log_y[n] - mu_dbl;
113 
114  T_partials_return logy_m_mu_sq = logy_m_mu * logy_m_mu;
115  T_partials_return logy_m_mu_div_sigma(0);
117  logy_m_mu_div_sigma = logy_m_mu * inv_sigma_sq[n];
118 
120  logp -= log_sigma[n];
122  logp -= log_y[n];
124  logp -= 0.5 * logy_m_mu_sq * inv_sigma_sq[n];
125 
127  operands_and_partials.d_x1[n] -= (1 + logy_m_mu_div_sigma) * inv_y[n];
129  operands_and_partials.d_x2[n] += logy_m_mu_div_sigma;
131  operands_and_partials.d_x3[n]
132  += (logy_m_mu_div_sigma * logy_m_mu - 1) * inv_sigma[n];
133  }
134  return operands_and_partials.value(logp);
135  }
136 
137  template <typename T_y, typename T_loc, typename T_scale>
138  inline
140  lognormal_lpdf(const T_y& y, const T_loc& mu, const T_scale& sigma) {
141  return lognormal_lpdf<false>(y, mu, sigma);
142  }
143 
144  }
145 }
146 #endif
return_type< T_y, T_loc, T_scale >::type lognormal_lpdf(const T_y &y, const T_loc &mu, const T_scale &sigma)
VectorView< T_return_type, false, true > d_x2
void check_finite(const char *function, const char *name, const T_y &y)
Check if y is finite.
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:14
T_return_type value(double value)
Returns a T_return_type with the value specified with the partial derivatves.
size_t length(const std::vector< T > &x)
Definition: length.hpp:10
const double LOG_ZERO
Definition: constants.hpp:172
Template metaprogram to calculate whether a summand needs to be included in a proportional (log) prob...
void check_nonnegative(const char *function, const char *name, const T_y &y)
Check if y is non-negative.
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
Metaprogram to determine if a type has a base scalar type that can be assigned to type double...
void check_positive_finite(const char *function, const char *name, const T_y &y)
Check if y is positive and finite.
void check_not_nan(const char *function, const char *name, const T_y &y)
Check if y is not NaN.
This class builds partial derivatives with respect to a set of operands.
VectorView< T_return_type, false, true > d_x3
size_t max_size(const T1 &x1, const T2 &x2)
Definition: max_size.hpp:9
const double NEG_LOG_SQRT_TWO_PI
Definition: constants.hpp:181
VectorBuilder allocates type T1 values to be used as intermediate values.
VectorView is a template expression that is constructed with a container or scalar, which it then allows to be used as an array using operator[].
Definition: VectorView.hpp:48
void check_consistent_sizes(const char *function, const char *name1, const T1 &x1, const char *name2, const T2 &x2)
Check if the dimension of x1 is consistent with x2.
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
VectorView< T_return_type, false, true > d_x1

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