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lognormal_log.hpp
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1 #ifndef STAN_MATH_PRIM_SCAL_PROB_LOGNORMAL_LOG_HPP
2 #define STAN_MATH_PRIM_SCAL_PROB_LOGNORMAL_LOG_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  // FIXME: document
30  template <bool propto,
31  typename T_y, typename T_loc, typename T_scale>
32  typename return_type<T_y, T_loc, T_scale>::type
33  lognormal_log(const T_y& y, const T_loc& mu, const T_scale& sigma) {
34  static const char* function("stan::math::lognormal_log");
36  T_partials_return;
37 
46 
47 
48  // check if any vectors are zero length
49  if (!(stan::length(y)
50  && stan::length(mu)
51  && stan::length(sigma)))
52  return 0.0;
53 
54  // set up return value accumulator
55  T_partials_return logp(0.0);
56 
57  // validate args (here done over var, which should be OK)
58  check_not_nan(function, "Random variable", y);
59  check_nonnegative(function, "Random variable", y);
60  check_finite(function, "Location parameter", mu);
61  check_positive_finite(function, "Scale parameter", sigma);
62  check_consistent_sizes(function,
63  "Random variable", y,
64  "Location parameter", mu,
65  "Scale parameter", sigma);
66 
67  VectorView<const T_y> y_vec(y);
68  VectorView<const T_loc> mu_vec(mu);
69  VectorView<const T_scale> sigma_vec(sigma);
70  size_t N = max_size(y, mu, sigma);
71 
72  for (size_t n = 0; n < length(y); n++)
73  if (value_of(y_vec[n]) <= 0)
74  return LOG_ZERO;
75 
77  operands_and_partials(y, mu, sigma);
78 
79  using stan::math::square;
80  using std::log;
82  using std::log;
83 
84 
86  T_partials_return, T_scale> log_sigma(length(sigma));
88  for (size_t n = 0; n < length(sigma); n++)
89  log_sigma[n] = log(value_of(sigma_vec[n]));
90  }
91 
93  T_partials_return, T_scale> inv_sigma(length(sigma));
95  T_partials_return, T_scale> inv_sigma_sq(length(sigma));
97  for (size_t n = 0; n < length(sigma); n++)
98  inv_sigma[n] = 1 / value_of(sigma_vec[n]);
99  }
101  for (size_t n = 0; n < length(sigma); n++)
102  inv_sigma_sq[n] = inv_sigma[n] * inv_sigma[n];
103  }
104 
106  T_partials_return, T_y> log_y(length(y));
108  for (size_t n = 0; n < length(y); n++)
109  log_y[n] = log(value_of(y_vec[n]));
110  }
111 
113  T_partials_return, T_y> inv_y(length(y));
115  for (size_t n = 0; n < length(y); n++)
116  inv_y[n] = 1 / value_of(y_vec[n]);
117  }
118 
120  logp += N * NEG_LOG_SQRT_TWO_PI;
121 
122  for (size_t n = 0; n < N; n++) {
123  const T_partials_return mu_dbl = value_of(mu_vec[n]);
124 
125  T_partials_return logy_m_mu(0);
127  logy_m_mu = log_y[n] - mu_dbl;
128 
129  T_partials_return logy_m_mu_sq = logy_m_mu * logy_m_mu;
130  T_partials_return logy_m_mu_div_sigma(0);
132  logy_m_mu_div_sigma = logy_m_mu * inv_sigma_sq[n];
133 
134 
135  // log probability
137  logp -= log_sigma[n];
139  logp -= log_y[n];
141  logp -= 0.5 * logy_m_mu_sq * inv_sigma_sq[n];
142 
143  // gradients
145  operands_and_partials.d_x1[n] -= (1 + logy_m_mu_div_sigma) * inv_y[n];
147  operands_and_partials.d_x2[n] += logy_m_mu_div_sigma;
149  operands_and_partials.d_x3[n]
150  += (logy_m_mu_div_sigma * logy_m_mu - 1) * inv_sigma[n];
151  }
152  return operands_and_partials.to_var(logp, y, mu, sigma);
153  }
154 
155  template <typename T_y, typename T_loc, typename T_scale>
156  inline
158  lognormal_log(const T_y& y, const T_loc& mu, const T_scale& sigma) {
159  return lognormal_log<false>(y, mu, sigma);
160  }
161  }
162 }
163 #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)
const double LOG_ZERO
Definition: constants.hpp:175
Template metaprogram to calculate whether a summand needs to be included in a proportional (log) prob...
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
fvar< T > square(const fvar< T > &x)
Definition: square.hpp:15
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...
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...
return_type< T_y, T_loc, T_scale >::type lognormal_log(const T_y &y, const T_loc &mu, const T_scale &sigma)
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:184
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.
VectorView< T_partials_return, is_vector< T2 >::value, is_constant_struct< T2 >::value > d_x2
bool check_nonnegative(const char *function, const char *name, const T_y &y)
Return true if y is non-negative.
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.

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