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Merge pull request #1772 from pgree/bugfix/1679-log-sum-exp
Changed calculation of log_sum_exp(x1, x2)
2 parents f3cbe21 + a793873 commit c26cda1

6 files changed

Lines changed: 71 additions & 26 deletions

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‎stan/math/rev/fun.hpp‎

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@@ -22,7 +22,6 @@
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#include <stan/math/rev/fun/bessel_second_kind.hpp>
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#include <stan/math/rev/fun/beta.hpp>
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#include <stan/math/rev/fun/binary_log_loss.hpp>
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#include <stan/math/rev/fun/calculate_chain.hpp>
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#include <stan/math/rev/fun/cbrt.hpp>
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#include <stan/math/rev/fun/ceil.hpp>
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#include <stan/math/rev/fun/cholesky_decompose.hpp>

‎stan/math/rev/fun/calculate_chain.hpp‎

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This file was deleted.

‎stan/math/rev/fun/log1p_exp.hpp‎

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@@ -3,7 +3,7 @@
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#include <stan/math/rev/meta.hpp>
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#include <stan/math/rev/core.hpp>
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#include <stan/math/rev/fun/calculate_chain.hpp>
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#include <stan/math/prim/fun/inv_logit.hpp>
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#include <stan/math/prim/fun/log1p_exp.hpp>
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namespace stan {
@@ -13,7 +13,7 @@ namespace internal {
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class log1p_exp_v_vari : public op_v_vari {
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public:
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explicit log1p_exp_v_vari(vari* avi) : op_v_vari(log1p_exp(avi->val_), avi) {}
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void chain() { avi_->adj_ += adj_ * calculate_chain(avi_->val_, val_); }
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void chain() { avi_->adj_ += adj_ * inv_logit(avi_->val_); }
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};
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} // namespace internal
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‎stan/math/rev/fun/log_diff_exp.hpp‎

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#include <stan/math/rev/meta.hpp>
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#include <stan/math/rev/core.hpp>
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#include <stan/math/rev/fun/calculate_chain.hpp>
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#include <stan/math/prim/fun/constants.hpp>
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#include <stan/math/prim/fun/expm1.hpp>
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#include <stan/math/prim/fun/log_diff_exp.hpp>
@@ -17,7 +16,7 @@ class log_diff_exp_vv_vari : public op_vv_vari {
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log_diff_exp_vv_vari(vari* avi, vari* bvi)
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: op_vv_vari(log_diff_exp(avi->val_, bvi->val_), avi, bvi) {}
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void chain() {
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avi_->adj_ += adj_ * calculate_chain(avi_->val_, val_);
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avi_->adj_ -= adj_ / expm1(bvi_->val_ - avi_->val_);
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bvi_->adj_ -= adj_ / expm1(avi_->val_ - bvi_->val_);
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}
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};
@@ -29,7 +28,7 @@ class log_diff_exp_vd_vari : public op_vd_vari {
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if (val_ == NEGATIVE_INFTY) {
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avi_->adj_ += (bd_ == NEGATIVE_INFTY) ? adj_ : adj_ * INFTY;
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} else {
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avi_->adj_ += adj_ * calculate_chain(avi_->val_, val_);
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avi_->adj_ -= adj_ / expm1(bd_ - avi_->val_);
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}
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}
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};

‎stan/math/rev/fun/log_sum_exp.hpp‎

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@@ -3,11 +3,11 @@
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#include <stan/math/rev/meta.hpp>
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#include <stan/math/rev/core.hpp>
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#include <stan/math/rev/fun/calculate_chain.hpp>
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#include <stan/math/rev/fun/typedefs.hpp>
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#include <stan/math/prim/meta.hpp>
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#include <stan/math/prim/fun/constants.hpp>
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#include <stan/math/prim/fun/Eigen.hpp>
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#include <stan/math/prim/fun/inv_logit.hpp>
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#include <stan/math/prim/fun/log_sum_exp.hpp>
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#include <cmath>
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#include <vector>
@@ -22,8 +22,8 @@ class log_sum_exp_vv_vari : public op_vv_vari {
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log_sum_exp_vv_vari(vari* avi, vari* bvi)
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: op_vv_vari(log_sum_exp(avi->val_, bvi->val_), avi, bvi) {}
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void chain() {
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avi_->adj_ += adj_ * calculate_chain(avi_->val_, val_);
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bvi_->adj_ += adj_ * calculate_chain(bvi_->val_, val_);
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avi_->adj_ += adj_ * inv_logit(avi_->val_ - bvi_->val_);
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bvi_->adj_ += adj_ * inv_logit(bvi_->val_ - avi_->val_);
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}
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};
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class log_sum_exp_vd_vari : public op_vd_vari {
@@ -34,7 +34,7 @@ class log_sum_exp_vd_vari : public op_vd_vari {
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if (val_ == NEGATIVE_INFTY) {
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avi_->adj_ += adj_;
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} else {
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avi_->adj_ += adj_ * calculate_chain(avi_->val_, val_);
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avi_->adj_ += adj_ * inv_logit(avi_->val_ - bd_);
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}
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}
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};

‎test/unit/math/rev/fun/log_sum_exp_test.cpp‎

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#include <stan/math/rev.hpp>
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#include <gtest/gtest.h>
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#include <test/unit/math/rev/fun/util.hpp>
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#include <test/unit/math/rev/util.hpp>
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TEST(log_sum_exp_tests, large_values) {
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using stan::math::var;
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// check autodiffing works with var types with large values
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var a = 1e50;
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var output = stan::math::log_sum_exp(a, a);
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output.grad();
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EXPECT_FLOAT_EQ(output.val(), log(2.0) + value_of(a));
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EXPECT_FLOAT_EQ(a.adj(), 1.0);
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var a2 = 1;
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var a3 = 1e50;
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var output2 = stan::math::log_sum_exp(a2, a3);
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output2.grad();
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EXPECT_FLOAT_EQ(a2.adj(), 0.0);
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EXPECT_FLOAT_EQ(a3.adj(), 1.0);
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var a4 = 1e50;
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var a5 = 1;
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var output3 = stan::math::log_sum_exp(a4, a5);
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output3.grad();
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EXPECT_FLOAT_EQ(a4.adj(), 1.0);
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EXPECT_FLOAT_EQ(a5.adj(), 0.0);
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// check autodiffing works with var types with large values
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var b = 1e20;
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var output6 = stan::math::log_sum_exp(b, b);
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output6.grad();
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EXPECT_FLOAT_EQ(output6.val(), log(2.0) + value_of(b));
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EXPECT_FLOAT_EQ(b.adj(), 1.0);
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var b2 = -2;
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var b3 = 1e20;
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var output7 = stan::math::log_sum_exp(b2, b3);
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output7.grad();
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EXPECT_FLOAT_EQ(b2.adj(), 0.0);
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EXPECT_FLOAT_EQ(b3.adj(), 1.0);
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var b4 = 1e20;
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var b5 = -2;
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var output8 = stan::math::log_sum_exp(b4, b5);
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output8.grad();
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EXPECT_FLOAT_EQ(b4.adj(), 1.0);
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EXPECT_FLOAT_EQ(b5.adj(), 0.0);
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// check arguement combinations of vars and doubles
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var a6 = 1e50;
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double a7 = 1;
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var output4 = stan::math::log_sum_exp(a6, a7);
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output4.grad();
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EXPECT_FLOAT_EQ(a6.adj(), 1.0);
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var a8 = 1;
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double a9 = 1e50;
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var output5 = stan::math::log_sum_exp(a8, a9);
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output5.grad();
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EXPECT_FLOAT_EQ(a8.adj(), 0.0);
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}

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