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normal_cdf.hpp
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1#ifndef STAN_MATH_OPENCL_PRIM_NORMAL_CDF_HPP
2#define STAN_MATH_OPENCL_PRIM_NORMAL_CDF_HPP
3#ifdef STAN_OPENCL
4
12
13namespace stan {
14namespace math {
15
29template <
30 typename T_y_cl, typename T_loc_cl, typename T_scale_cl,
32 T_scale_cl>* = nullptr,
33 require_any_not_stan_scalar_t<T_y_cl, T_loc_cl, T_scale_cl>* = nullptr>
35 const T_y_cl& y, const T_loc_cl& mu, const T_scale_cl& sigma) {
36 static constexpr const char* function = "normal_cdf(OpenCL)";
38 using std::isfinite;
39 using std::isnan;
40
41 check_consistent_sizes(function, "Random variable", y, "Location parameter",
42 mu, "Scale parameter", sigma);
43 const size_t N = max_size(y, mu, sigma);
44 if (N == 0) {
45 return 1.0;
46 }
47
48 const auto& y_col = as_column_vector_or_scalar(y);
49 const auto& mu_col = as_column_vector_or_scalar(mu);
50 const auto& sigma_col = as_column_vector_or_scalar(sigma);
51
52 const auto& y_val = value_of(y_col);
53 const auto& mu_val = value_of(mu_col);
54 const auto& sigma_val = value_of(sigma_col);
55
56 auto check_y_not_nan
57 = check_cl(function, "Random variable", y_val, "not NaN");
58 auto y_not_nan_expr = !isnan(y_val);
59 auto check_mu_finite
60 = check_cl(function, "Location parameter", mu_val, "finite");
61 auto mu_finite_expr = isfinite(mu_val);
62 auto check_sigma_positive
63 = check_cl(function, "Scale parameter", sigma_val, "positive");
64 auto sigma_positive_expr = 0 < sigma_val;
65
66 auto scaled_diff = elt_divide(y_val - mu_val, sigma_val * SQRT_TWO);
67 auto cdf_n = select(
68 scaled_diff < -37.5 * INV_SQRT_TWO, 0.0,
69 select(scaled_diff < -5.0 * INV_SQRT_TWO, 0.5 * erfc(-scaled_diff),
70 select(scaled_diff > 8.25 * INV_SQRT_TWO, 1.0,
71 0.5 * (1.0 + erf(scaled_diff)))));
72 auto cdf_expr = colwise_prod(cdf_n);
73 auto mu_deriv_tmp = select(scaled_diff < -37.5 * INV_SQRT_TWO, 0.0,
75 * elt_divide(exp(-square(scaled_diff)),
76 elt_multiply(cdf_n, sigma_val)));
77 auto sigma_deriv_tmp = elt_multiply(mu_deriv_tmp, scaled_diff);
78
79 matrix_cl<double> cdf_cl;
80 matrix_cl<double> mu_deriv_cl;
81 matrix_cl<double> y_deriv_cl;
82 matrix_cl<double> sigma_deriv_cl;
83
84 results(check_y_not_nan, check_mu_finite, check_sigma_positive, cdf_cl,
85 mu_deriv_cl, sigma_deriv_cl)
87 y_not_nan_expr, mu_finite_expr, sigma_positive_expr, cdf_expr,
89 calc_if<!is_constant<T_scale_cl>::value>(sigma_deriv_tmp));
90
91 T_partials_return cdf = (from_matrix_cl(cdf_cl)).prod();
92
93 auto y_deriv = elt_multiply(mu_deriv_cl, cdf);
94 auto mu_deriv = -y_deriv;
95 auto sigma_deriv = elt_multiply(sigma_deriv_cl, -SQRT_TWO * cdf);
96
97 results(mu_deriv_cl, y_deriv_cl, sigma_deriv_cl)
101
102 auto ops_partials = make_partials_propagator(y_col, mu_col, sigma_col);
103
105 partials<0>(ops_partials) = std::move(y_deriv_cl);
106 }
108 partials<1>(ops_partials) = std::move(mu_deriv_cl);
109 }
111 partials<2>(ops_partials) = std::move(sigma_deriv_cl);
112 }
113 return ops_partials.build(cdf);
114}
115
116} // namespace math
117} // namespace stan
118#endif
119#endif
Represents an arithmetic matrix on the OpenCL device.
Definition matrix_cl.hpp:47
elt_multiply_< as_operation_cl_t< T_a >, as_operation_cl_t< T_b > > elt_multiply(T_a &&a, T_b &&b)
isfinite_< as_operation_cl_t< T > > isfinite(T &&a)
select_< as_operation_cl_t< T_condition >, as_operation_cl_t< T_then >, as_operation_cl_t< T_else > > select(T_condition &&condition, T_then &&then, T_else &&els)
Selection operation on kernel generator expressions.
Definition select.hpp:148
auto check_cl(const char *function, const char *var_name, T &&y, const char *must_be)
Constructs a check on opencl matrix or expression.
Definition check_cl.hpp:219
results_cl< T_results... > results(T_results &&... results)
Deduces types for constructing results_cl object.
auto as_column_vector_or_scalar(T &&a)
as_column_vector_or_scalar of a kernel generator expression.
auto colwise_prod(T &&a)
Column wise product - reduction of a kernel generator expression.
elt_divide_< as_operation_cl_t< T_a >, as_operation_cl_t< T_b > > elt_divide(T_a &&a, T_b &&b)
calc_if_< true, as_operation_cl_t< T > > calc_if(T &&a)
Definition calc_if.hpp:121
expressions_cl< T_expressions... > expressions(T_expressions &&... expressions)
Deduces types for constructing expressions_cl object.
return_type_t< T_y_cl, T_loc_cl, T_scale_cl > normal_cdf(const T_y_cl &y, const T_loc_cl &mu, const T_scale_cl &sigma)
Returns the normal cumulative distribution function for the given location, and scale.
auto from_matrix_cl(const T &src)
Copies the source matrix that is stored on the OpenCL device to the destination Eigen matrix.
Definition copy.hpp:61
require_all_t< is_prim_or_rev_kernel_expression< std::decay_t< Types > >... > require_all_prim_or_rev_kernel_expression_t
Require type satisfies is_prim_or_rev_kernel_expression.
typename return_type< Ts... >::type return_type_t
Convenience type for the return type of the specified template parameters.
value_type_t< T > prod(const T &m)
Calculates product of given kernel generator expression elements.
Definition prod.hpp:21
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition value_of.hpp:18
fvar< T > erf(const fvar< T > &x)
Definition erf.hpp:15
static constexpr double INV_SQRT_TWO
The value of 1 over the square root of 2, .
static constexpr double INV_SQRT_TWO_PI
The value of 1 over the square root of , .
static constexpr double SQRT_TWO
The value of the square root of 2, .
void check_consistent_sizes(const char *)
Trivial no input case, this function is a no-op.
fvar< T > erfc(const fvar< T > &x)
Definition erfc.hpp:15
int64_t max_size(const T1 &x1, const Ts &... xs)
Calculate the size of the largest input.
Definition max_size.hpp:20
auto make_partials_propagator(Ops &&... ops)
Construct an partials_propagator.
fvar< T > square(const fvar< T > &x)
Definition square.hpp:12
fvar< T > exp(const fvar< T > &x)
Definition exp.hpp:13
typename partials_return_type< Args... >::type partials_return_t
The lgamma implementation in stan-math is based on either the reentrant safe lgamma_r implementation ...
bool isnan(const stan::math::var &a)
Checks if the given number is NaN.
Definition std_isnan.hpp:18
Metaprogramming struct to detect whether a given type is constant in the mathematical sense (not the ...
Extends std::true_type when instantiated with zero or more template parameters, all of which extend t...