normal_id_glm_lpdf.hpp

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#ifndef STAN_MATH_OPENCL_PRIM_NORMAL_ID_GLM_LPDF_HPP
#define STAN_MATH_OPENCL_PRIM_NORMAL_ID_GLM_LPDF_HPP
#ifdef STAN_OPENCL
 
#include <stan/math/opencl/prim/size.hpp>
#include <stan/math/opencl/rev/operands_and_partials.hpp>
#include <stan/math/opencl/copy.hpp>
#include <stan/math/opencl/matrix_cl.hpp>
#include <stan/math/opencl/prim/multiply.hpp>
#include <stan/math/opencl/kernel_generator.hpp>
#include <stan/math/prim/meta.hpp>
#include <stan/math/prim/err.hpp>
#include <stan/math/prim/fun/constants.hpp>
#include <stan/math/prim/fun/elt_divide.hpp>
#include <stan/math/prim/fun/size.hpp>
#include <stan/math/prim/fun/size_zero.hpp>
#include <stan/math/prim/fun/sum.hpp>
#include <stan/math/prim/fun/to_ref.hpp>
#include <stan/math/prim/fun/value_of_rec.hpp>
#include <stan/math/prim/prob/normal_id_glm_lpdf.hpp>
#include <cmath>
 
namespace stan {
namespace math {
 
template <bool propto, typename T_y_cl, typename T_x_cl, typename T_alpha_cl,
          typename T_beta_cl, typename T_sigma_cl,
          require_all_prim_or_rev_kernel_expression_t<
              T_x_cl, T_y_cl, T_alpha_cl, T_beta_cl, T_sigma_cl>* = nullptr>
inline return_type_t<T_y_cl, T_x_cl, T_alpha_cl, T_beta_cl, T_sigma_cl>
normal_id_glm_lpdf(const T_y_cl& y, const T_x_cl& x, const T_alpha_cl& alpha,
                   const T_beta_cl& beta, const T_sigma_cl& sigma) {
  using T_partials_return
      = partials_return_t<T_y_cl, T_x_cl, T_alpha_cl, T_beta_cl, T_sigma_cl>;
  constexpr bool is_y_vector = !is_stan_scalar<T_y_cl>::value;
  constexpr bool is_sigma_vector = !is_stan_scalar<T_sigma_cl>::value;
  constexpr bool is_alpha_vector = !is_stan_scalar<T_alpha_cl>::value;
  using std::isfinite;
  static constexpr const char* function = "normal_id_glm_lpdf(OpenCL)";
 
  const size_t N = x.rows();
  const size_t M = x.cols();
 
  if constexpr (is_y_vector) {
    check_size_match(function, "Rows of ", "x", N, "rows of ", "y",
                     math::size(y));
  }
  check_size_match(function, "Columns of ", "x_cl", M, "size of ", "beta",
                   math::size(beta));
  if constexpr (is_sigma_vector) {
    check_size_match(function, "Rows of ", "x", N, "size of ", "sigma",
                     math::size(sigma));
  }
  if constexpr (is_alpha_vector) {
    check_size_match(function, "Rows of ", "x", N, "size of ", "alpha",
                     math::size(alpha));
  }
  if (!include_summand<propto, T_y_cl, T_x_cl, T_alpha_cl, T_beta_cl,
                       T_sigma_cl>::value) {
    return 0;
  }
  if (N == 0) {
    return 0;
  }
 
  const auto& y_val = value_of(y);
  const auto& x_val = value_of(x);
  const auto& alpha_val = value_of(alpha);
  const auto& beta_val = value_of(beta);
  const auto& sigma_val = value_of(sigma);
 
  auto inv_sigma_expr = elt_divide(1., sigma_val);
  auto y_scaled_expr = elt_multiply(
      (y_val - matrix_vector_multiply(x_val, beta_val) - alpha_val),
      inv_sigma_expr);
  auto mu_derivative_expr = elt_multiply(y_scaled_expr, inv_sigma_expr);
  auto mu_derivative_sum_expr = colwise_sum(mu_derivative_expr);
  auto y_scaled_sq_expr = elt_multiply(y_scaled_expr, y_scaled_expr);
  auto y_scaled_sq_sum_expr = colwise_sum(y_scaled_sq_expr);
  auto sigma_derivative_expr
      = elt_multiply((y_scaled_sq_expr - 1), inv_sigma_expr);
  auto log_sigma_sum_expr = colwise_sum(log(sigma_val));
 
  const int wgs = y_scaled_sq_sum_expr.rows();
 
  constexpr bool need_mu_derivative
      = is_any_autodiff_v<
            T_x_cl, T_beta_cl> || (is_autodiff_v<T_alpha_cl> && is_alpha_vector)
        || (is_autodiff_v<T_y_cl> && is_y_vector);
  matrix_cl<double> mu_derivative_cl(need_mu_derivative ? N : 0, 1);
  constexpr bool need_mu_derivative_sum
      = (is_autodiff_v<T_alpha_cl> && !is_alpha_vector)
        || (is_autodiff_v<T_y_cl> && !is_y_vector);
  matrix_cl<double> mu_derivative_sum_cl(need_mu_derivative_sum ? wgs : 0, 1);
  matrix_cl<double> y_scaled_sq_sum_cl(wgs, 1);
  constexpr bool need_sigma_derivative = is_autodiff_v<T_sigma_cl>;
  matrix_cl<double> sigma_derivative_cl(need_sigma_derivative ? N : 0, 1);
  constexpr bool need_log_sigma_sum
      = include_summand<propto, T_sigma_cl>::value && is_sigma_vector;
  matrix_cl<double> log_sigma_sum_cl(need_log_sigma_sum ? wgs : 0, 1);
 
  results(mu_derivative_cl, mu_derivative_sum_cl, y_scaled_sq_sum_cl,
          sigma_derivative_cl, log_sigma_sum_cl)
      = expressions(calc_if<need_mu_derivative>(mu_derivative_expr),
                    calc_if<need_mu_derivative_sum>(mu_derivative_sum_expr),
                    y_scaled_sq_sum_expr,
                    calc_if<need_sigma_derivative>(sigma_derivative_expr),
                    calc_if<need_log_sigma_sum>(log_sigma_sum_expr));
 
  double y_scaled_sq_sum = sum(from_matrix_cl(y_scaled_sq_sum_cl));
  auto ops_partials = make_partials_propagator(y, x, alpha, beta, sigma);
  double mu_derivative_sum;
  if (need_mu_derivative_sum) {
    mu_derivative_sum = sum(from_matrix_cl(mu_derivative_sum_cl));
  }
  if constexpr (is_autodiff_v<T_y_cl>) {
    if constexpr (is_y_vector) {
      partials<0>(ops_partials) = -mu_derivative_cl;
    } else {
      partials<0>(ops_partials)[0] = -mu_derivative_sum;
    }
  }
  if constexpr (is_autodiff_v<T_x_cl>) {
    partials<1>(ops_partials)
        = transpose(beta_val * transpose(mu_derivative_cl));
  }
  if constexpr (is_autodiff_v<T_alpha_cl>) {
    if constexpr (is_alpha_vector) {
      partials<2>(ops_partials) = mu_derivative_cl;
    } else {
      partials<2>(ops_partials)[0] = mu_derivative_sum;
    }
  }
  if constexpr (is_autodiff_v<T_beta_cl>) {
    // transposition of a vector can be done without copying
    const matrix_cl<double> mu_derivative_transpose_cl(
        mu_derivative_cl.buffer(), 1, mu_derivative_cl.rows());
    matrix_cl<double> edge4_partials_transpose_cl
        = mu_derivative_transpose_cl * x_val;
    partials<3>(ops_partials)
        = matrix_cl<double>(edge4_partials_transpose_cl.buffer(),
                            edge4_partials_transpose_cl.cols(), 1);
    if (beta_val.rows() != 0) {
      edge<3>(ops_partials)
          .partials_.add_write_event(
              edge4_partials_transpose_cl.write_events().back());
    }
  }
  if constexpr (is_autodiff_v<T_sigma_cl>) {
    partials<4>(ops_partials) = sigma_derivative_cl;
  }
 
  if (!std::isfinite(y_scaled_sq_sum)) {
    results(
        check_cl(function, "Vector of dependent variables", y_val, "finite"),
        check_cl(function, "Intercept", alpha_val, "finite"),
        check_cl(function, "Scale vector", sigma_val, "positive finite"))
        = expressions(isfinite(y_val), isfinite(alpha_val),
                      isfinite(sigma_val) && sigma_val > 0);
    check_cl(function, "Weight vector", x_val, "finite") = isfinite(x_val);
    check_cl(function, "Weight vector", beta_val, "finite")
        = isfinite(beta_val);
  }
 
  // Compute log probability.
  T_partials_return logp(0.0);
  if constexpr (include_summand<propto>::value) {
    logp += NEG_LOG_SQRT_TWO_PI * N;
  }
  if constexpr (include_summand<propto, T_sigma_cl>::value) {
    if constexpr (is_sigma_vector) {
      logp -= sum(from_matrix_cl(log_sigma_sum_cl));
    } else {
      logp -= N * log(sigma_val);
    }
  }
  logp -= 0.5 * y_scaled_sq_sum;
 
  return ops_partials.build(logp);
}
 
}  // namespace math
}  // namespace stan
 
#endif
#endif