1 #ifndef STAN_MATH_REV_MAT_FUN_LOG_SUM_EXP_HPP
2 #define STAN_MATH_REV_MAT_FUN_LOG_SUM_EXP_HPP
3
4 #include <stan/math/rev/core.hpp>
5 #include <stan/math/rev/scal/fun/calculate_chain.hpp>
6 #include <stan/math/prim/scal/fun/log_sum_exp.hpp>
7 #include <stan/math/prim/mat/fun/Eigen.hpp>
8 #include <limits>
9
10 namespace stan {
11 namespace math {
12
13 namespace internal {
14
15 // these function and the following class just translate
16 // log_sum_exp for std::vector for Eigen::Matrix
17
18 template <int R, int C>
log_sum_exp_as_double(const Eigen::Matrix<var,R,C> & x)19 inline double log_sum_exp_as_double(const Eigen::Matrix<var, R, C>& x) {
20 using std::exp;
21 using std::log;
22 using std::numeric_limits;
23 double max = -numeric_limits<double>::infinity();
24 for (int i = 0; i < x.size(); ++i)
25 if (x(i) > max)
26 max = x(i).val();
27 double sum = 0.0;
28 for (int i = 0; i < x.size(); ++i)
29 if (x(i) != -numeric_limits<double>::infinity())
30 sum += exp(x(i).val() - max);
31 return max + log(sum);
32 }
33
34 class log_sum_exp_matrix_vari : public op_matrix_vari {
35 public:
36 template <int R, int C>
log_sum_exp_matrix_vari(const Eigen::Matrix<var,R,C> & x)37 explicit log_sum_exp_matrix_vari(const Eigen::Matrix<var, R, C>& x)
38 : op_matrix_vari(log_sum_exp_as_double(x), x) {}
chain()39 void chain() {
40 for (size_t i = 0; i < size_; ++i) {
41 vis_[i]->adj_ += adj_ * calculate_chain(vis_[i]->val_, val_);
42 }
43 }
44 };
45 } // namespace internal
46
47 /**
48 * Returns the log sum of exponentials.
49 *
50 * @param x matrix
51 */
52 template <int R, int C>
log_sum_exp(const Eigen::Matrix<var,R,C> & x)53 inline var log_sum_exp(const Eigen::Matrix<var, R, C>& x) {
54 return var(new internal::log_sum_exp_matrix_vari(x));
55 }
56
57 } // namespace math
58 } // namespace stan
59 #endif
60