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Changed calculation of log_sum_exp(x1, x2) #1772

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Merged
bbbales2 merged 14 commits into from
Mar 19, 2020
Merged

Changed calculation of log_sum_exp(x1, x2) #1772

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5fd8e2b
change derivative calculation for log_sum_exp; fixes #1679
pgree Mar 10, 2020
0869a16
remove white space
pgree Mar 10, 2020
2f5432f
remove more white space
pgree Mar 10, 2020
8aa6a50
Merge commit '114985aaf0798584525c0cf7fd6cab0168222f54' into HEAD
yashikno Mar 10, 2020
b513358
[Jenkins] auto-formatting by clang-format version 5.0.0-3~16.04.1 (ta…
stan-buildbot Mar 10, 2020
3a03bd9
replaced calculate_chain and removed function
pgree Mar 11, 2020
088ee0c
Merge remote-tracking branch 'pgree/bugfix/1679-log-sum-exp' into bug…
pgree Mar 11, 2020
817dec8
included inv_logit, added new test
pgree Mar 13, 2020
67a1b13
Merge commit 'fe3a41c3e854fe604841b237fa0475f26d29fe98' into HEAD
yashikno Mar 13, 2020
829be7f
[Jenkins] auto-formatting by clang-format version 6.0.0 (tags/google/…
stan-buildbot Mar 13, 2020
c261931
added test for var and double
pgree Mar 13, 2020
197831a
merged with current
pgree Mar 13, 2020
62a3c1f
updated header
pgree Mar 16, 2020
a793873
updated another header
pgree Mar 16, 2020
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4 changes: 2 additions & 2 deletions stan/math/rev/fun/log_sum_exp.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -22,8 +22,8 @@ class log_sum_exp_vv_vari : public op_vv_vari {
log_sum_exp_vv_vari(vari* avi, vari* bvi)
: op_vv_vari(log_sum_exp(avi->val_, bvi->val_), avi, bvi) {}
void chain() {
avi_->adj_ += adj_ * calculate_chain(avi_->val_, val_);
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@bbbales2 bbbales2 Mar 11, 2020

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Would it be possible to get rid of calculate_chain everywhere? It seems like a strange function.

Also used here (which should be fixed as part of this pull):

math/stan/math/rev/fun/log_sum_exp.hpp

Line 37 in b513358

avi_->adj_ += adj_ * calculate_chain(avi_->val_, val_);

In stan/math/rev/fun/log_diff_exp.hpp and in stan/math/rev/fun/log1p_exp.hpp.

bvi_->adj_ += adj_ * calculate_chain(bvi_->val_, val_);
avi_->adj_ += adj_ / (1 + exp(bvi_->val_ - avi_->val_));
bvi_->adj_ += adj_ / (1 + exp(avi_->val_ - bvi_->val_));
}
};
class log_sum_exp_vd_vari : public op_vd_vari {
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28 changes: 28 additions & 0 deletions test/unit/math/rev/fun/log_sum_exp_test.cpp
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@@ -0,0 +1,28 @@
#include <stan/math/rev.hpp>
#include <gtest/gtest.h>
#include <test/unit/math/rev/fun/util.hpp>
#include <test/unit/math/rev/util.hpp>

TEST(log_sum_exp_tests, large_values) {
using stan::math::var;

var a = 1e50;
var output = stan::math::log_sum_exp(a, a);
output.grad();
EXPECT_FLOAT_EQ(output.val(), log(2.0) + value_of(a));
EXPECT_FLOAT_EQ(a.adj(), 1.0);

var a1 = 1e50;
var a2 = 1;
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@bbbales2 bbbales2 Mar 11, 2020

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Once you remove the other calculate_chain thing we'll need some tests where a1 is a var and a2 is a double.

var output2 = stan::math::log_sum_exp(a1, a2);
output2.grad();
EXPECT_FLOAT_EQ(a1.adj(), 1.0);
EXPECT_FLOAT_EQ(a2.adj(), 0.0);

var a3 = 1;
var a4 = 1e50;
var output3 = stan::math::log_sum_exp(a3, a4);
output3.grad();
EXPECT_FLOAT_EQ(a3.adj(), 0.0);
EXPECT_FLOAT_EQ(a4.adj(), 1.0);
}