Automatic Differentiation
 
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pareto_lcdf.hpp
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1#ifndef STAN_MATH_OPENCL_PRIM_PARETO_LCDF_HPP
2#define STAN_MATH_OPENCL_PRIM_PARETO_LCDF_HPP
3#ifdef STAN_OPENCL
4
12
13namespace stan {
14namespace math {
15
28template <
29 typename T_y_cl, typename T_scale_cl, typename T_shape_cl,
31 T_shape_cl>* = nullptr,
32 require_any_not_stan_scalar_t<T_y_cl, T_scale_cl, T_shape_cl>* = nullptr>
34 const T_y_cl& y, const T_scale_cl& y_min, const T_shape_cl& alpha) {
35 static constexpr const char* function = "pareto_lcdf(OpenCL)";
37 using std::isfinite;
38 using std::isinf;
39 using std::isnan;
40
41 check_consistent_sizes(function, "Random variable", y, "Location parameter",
42 y_min, "Scale parameter", alpha);
43 const size_t N = max_size(y, y_min, alpha);
44 if (N == 0) {
45 return 0.0;
46 }
47
48 const auto& y_col = as_column_vector_or_scalar(y);
49 const auto& y_min_col = as_column_vector_or_scalar(y_min);
50 const auto& alpha_col = as_column_vector_or_scalar(alpha);
51
52 const auto& y_val = value_of(y_col);
53 const auto& y_min_val = value_of(y_min_col);
54 const auto& alpha_val = value_of(alpha_col);
55
56 auto check_y_nonnegative
57 = check_cl(function, "Random variable", y_val, "nonnegative");
58 auto y_not_nonnegative_expr = 0 <= y_val;
59 auto check_y_min_positive_finite
60 = check_cl(function, "Scale parameter", y_min_val, "positive finite");
61 auto y_min_positive_finite_expr = 0 < y_min_val && isfinite(y_min_val);
62 auto check_alpha_positive_finite
63 = check_cl(function, "Shape parameter", alpha_val, "positive finite");
64 auto alpha_positive_finite_expr = 0 < alpha_val && isfinite(alpha_val);
65
66 auto any_y_lower_than_y_min = colwise_max(cast<char>(y_val < y_min_val));
67 auto any_y_inf = colwise_max(cast<char>(isinf(y_val)));
68
69 auto log_quot = log(elt_divide(y_min_val, y_val));
70 auto exp_prod = exp(elt_multiply(alpha_val, log_quot));
71 // TODO(Andrew) Further simplify derivatives and log1m_exp below
72 auto lcdf_expr = colwise_sum(log1m(exp_prod));
73
74 auto common_deriv = elt_divide(exp_prod, 1.0 - exp_prod);
75
76 auto y_min_deriv
77 = elt_multiply(elt_divide(-alpha_val, y_min_val), common_deriv);
78 auto y_deriv = elt_multiply(-y_min_deriv, exp(log_quot));
79 auto alpha_deriv = elt_multiply(-common_deriv, log_quot);
80
81 matrix_cl<double> lcdf_cl;
82 matrix_cl<char> any_y_lower_than_y_min_cl;
83 matrix_cl<char> any_y_inf_cl;
84 matrix_cl<double> y_min_deriv_cl;
85 matrix_cl<double> y_deriv_cl;
86 matrix_cl<double> alpha_deriv_cl;
87
88 results(check_y_nonnegative, check_y_min_positive_finite,
89 check_alpha_positive_finite, any_y_lower_than_y_min_cl, any_y_inf_cl,
90 lcdf_cl, y_deriv_cl, y_min_deriv_cl, alpha_deriv_cl)
91 = expressions(y_not_nonnegative_expr, y_min_positive_finite_expr,
92 alpha_positive_finite_expr, any_y_lower_than_y_min,
93 any_y_inf, lcdf_expr,
97
98 if (from_matrix_cl(any_y_lower_than_y_min_cl).maxCoeff()) {
99 return NEGATIVE_INFTY;
100 }
101
102 if (from_matrix_cl(any_y_inf_cl).maxCoeff()) {
103 return 0;
104 }
105
106 T_partials_return lcdf = from_matrix_cl(lcdf_cl).sum();
107
108 auto ops_partials = make_partials_propagator(y_col, y_min_col, alpha_col);
109
111 partials<0>(ops_partials) = std::move(y_deriv_cl);
112 }
114 partials<1>(ops_partials) = std::move(y_min_deriv_cl);
115 }
117 partials<2>(ops_partials) = std::move(alpha_deriv_cl);
118 }
119 return ops_partials.build(lcdf);
120}
121
122} // namespace math
123} // namespace stan
124#endif
125#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)
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.
elt_divide_< as_operation_cl_t< T_a >, as_operation_cl_t< T_b > > elt_divide(T_a &&a, T_b &&b)
auto colwise_max(T &&a)
Column wise max - reduction of a kernel generator expression.
calc_if_< true, as_operation_cl_t< T > > calc_if(T &&a)
Definition calc_if.hpp:121
auto colwise_sum(T &&a)
Column wise sum - reduction of a kernel generator expression.
expressions_cl< T_expressions... > expressions(T_expressions &&... expressions)
Deduces types for constructing expressions_cl object.
return_type_t< T_y_cl, T_scale_cl, T_shape_cl > pareto_lcdf(const T_y_cl &y, const T_scale_cl &y_min, const T_shape_cl &alpha)
Returns the Pareto cumulative density function.
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.
T value_of(const fvar< T > &v)
Return the value of the specified variable.
Definition value_of.hpp:18
fvar< T > log(const fvar< T > &x)
Definition log.hpp:15
static constexpr double NEGATIVE_INFTY
Negative infinity.
Definition constants.hpp:51
void check_consistent_sizes(const char *)
Trivial no input case, this function is a no-op.
int64_t max_size(const T1 &x1, const Ts &... xs)
Calculate the size of the largest input.
Definition max_size.hpp:20
fvar< T > log1m(const fvar< T > &x)
Definition log1m.hpp:12
auto make_partials_propagator(Ops &&... ops)
Construct an partials_propagator.
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
bool isinf(const stan::math::var &a)
Return 1 if the specified argument is positive infinity or negative infinity and 0 otherwise.
Definition std_isinf.hpp:16
Metaprogramming struct to detect whether a given type is constant in the mathematical sense (not the ...