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Feature/issue-3107 add beta negative binomial lpmf #3108

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1 change: 1 addition & 0 deletions stan/math/prim/prob.hpp
Original file line number Diff line number Diff line change
Expand Up @@ -25,6 +25,7 @@
#include <stan/math/prim/prob/beta_lccdf.hpp>
#include <stan/math/prim/prob/beta_lcdf.hpp>
#include <stan/math/prim/prob/beta_lpdf.hpp>
#include <stan/math/prim/prob/beta_neg_binomial_lpmf.hpp>
#include <stan/math/prim/prob/beta_proportion_ccdf_log.hpp>
#include <stan/math/prim/prob/beta_proportion_cdf_log.hpp>
#include <stan/math/prim/prob/beta_proportion_lccdf.hpp>
Expand Down
134 changes: 134 additions & 0 deletions stan/math/prim/prob/beta_neg_binomial_lpmf.hpp
Original file line number Diff line number Diff line change
@@ -0,0 +1,134 @@
#ifndef STAN_MATH_PRIM_PROB_BETA_NEG_BINOMIAL_LPMF_HPP
#define STAN_MATH_PRIM_PROB_BETA_NEG_BINOMIAL_LPMF_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/digamma.hpp>
#include <stan/math/prim/fun/lbeta.hpp>
#include <stan/math/prim/fun/lgamma.hpp>
#include <stan/math/prim/fun/max_size.hpp>
#include <stan/math/prim/fun/scalar_seq_view.hpp>
#include <stan/math/prim/fun/size.hpp>
#include <stan/math/prim/fun/size_zero.hpp>
#include <stan/math/prim/fun/value_of.hpp>
#include <stan/math/prim/functor/partials_propagator.hpp>

namespace stan {
namespace math {

/** \ingroup prob_dists
* Returns the log PMF of the Beta Negative Binomial distribution with given
* number of successes, prior success, and prior failure parameters.
* Given containers of matching sizes, returns the log sum of probabilities.
*
* @tparam T_n type of failure parameter
* @tparam T_r type of number of successes parameter
* @tparam T_alpha type of prior success parameter
* @tparam T_beta type of prior failure parameter
*
* @param n failure parameter
* @param r Number of successes parameter
* @param alpha prior success parameter
* @param beta prior failure parameter
* @return log probability or log sum of probabilities
* @throw std::domain_error if r, alpha, or beta fails to be positive
* @throw std::invalid_argument if container sizes mismatch
*/
template <bool propto, typename T_n, typename T_r, typename T_alpha,
typename T_beta,
require_all_not_nonscalar_prim_or_rev_kernel_expression_t<
T_n, T_r, T_alpha, T_beta>* = nullptr>
inline return_type_t<T_r, T_alpha, T_beta> beta_neg_binomial_lpmf(
const T_n& n, const T_r& r, const T_alpha& alpha, const T_beta& beta) {
using T_partials_return = partials_return_t<T_n, T_r, T_alpha, T_beta>;
using T_n_ref = ref_type_t<T_n>;
using T_r_ref = ref_type_t<T_r>;
using T_alpha_ref = ref_type_t<T_alpha>;
using T_beta_ref = ref_type_t<T_beta>;
static constexpr const char* function = "beta_neg_binomial_lpmf";
check_consistent_sizes(
function, "Failures variable", n, "Number of successes parameter", r,
"Prior success parameter", alpha, "Prior failure parameter", beta);
if (size_zero(n, r, alpha, beta)) {
return 0.0;
}

T_n_ref n_ref = n;
T_r_ref r_ref = r;
T_alpha_ref alpha_ref = alpha;
T_beta_ref beta_ref = beta;
check_nonnegative(function, "Failures variable", n_ref);
check_positive_finite(function, "Number of successes parameter", r_ref);
check_positive_finite(function, "Prior success parameter", alpha_ref);
check_positive_finite(function, "Prior failure parameter", beta_ref);

if constexpr (!include_summand<propto, T_r, T_alpha, T_beta>::value) {
return 0.0;
}

auto ops_partials = make_partials_propagator(r_ref, alpha_ref, beta_ref);

scalar_seq_view<T_n> n_vec(n);
scalar_seq_view<T_r_ref> r_vec(r_ref);
scalar_seq_view<T_alpha_ref> alpha_vec(alpha_ref);
scalar_seq_view<T_beta_ref> beta_vec(beta_ref);
const size_t max_size_seq_view = max_size(n, r, alpha, beta);
T_partials_return logp(0.0);
for (size_t i = 0; i < max_size_seq_view; i++) {
if constexpr (include_summand<propto>::value) {
logp -= lgamma(n_vec[i] + 1);
}
T_partials_return lbeta_denominator = lbeta(r_vec.val(i), alpha_vec.val(i));
T_partials_return lgamma_numerator = lgamma(n_vec[i] + beta_vec.val(i));
T_partials_return lgamma_denominator = lgamma(beta_vec.val(i));
T_partials_return lbeta_numerator
= lbeta(n_vec[i] + r_vec.val(i), alpha_vec.val(i) + beta_vec.val(i));
logp += lbeta_numerator + lgamma_numerator - lbeta_denominator
- lgamma_denominator;
if (!is_constant_all<T_r, T_alpha, T_beta>::value) {
T_partials_return digamma_n_r_alpha_beta = digamma(
n_vec[i] + r_vec.val(i) + alpha_vec.val(i) + beta_vec.val(i));

if constexpr (!is_constant<T_r>::value || !is_constant<T_alpha>::value) {
T_partials_return digamma_r_alpha
= digamma(r_vec.val(i) + alpha_vec.val(i));
if constexpr (!is_constant_all<T_r>::value) {
partials<0>(ops_partials)[i]
+= digamma(n_vec[i] + r_vec.val(i)) - digamma_n_r_alpha_beta
- (digamma(r_vec.val(i)) - digamma_r_alpha);
}
if constexpr (!is_constant_all<T_alpha>::value) {
partials<1>(ops_partials)[i]
+= -digamma_n_r_alpha_beta
- (digamma(alpha_vec.val(i)) - digamma_r_alpha);
}
}
if constexpr (!is_constant<T_beta>::value
|| !is_constant<T_alpha>::value) {
T_partials_return digamma_alpha_beta
= digamma(alpha_vec.val(i) + beta_vec.val(i));
if constexpr (!is_constant_all<T_beta>::value) {
partials<2>(ops_partials)[i] += digamma_alpha_beta
- digamma_n_r_alpha_beta
+ digamma(n_vec[i] + beta_vec.val(i))
- digamma(beta_vec.val(i));
}
if constexpr (!is_constant_all<T_alpha>::value) {
partials<1>(ops_partials)[i] += digamma_alpha_beta;
}
}
}
}
return ops_partials.build(logp);
}

template <typename T_n, typename T_r, typename T_alpha, typename T_beta>
inline return_type_t<T_r, T_alpha, T_beta> beta_neg_binomial_lpmf(
const T_n& n, const T_r& r, const T_alpha& alpha, const T_beta& beta) {
return beta_neg_binomial_lpmf<false>(n, r, alpha, beta);
}

} // namespace math
} // namespace stan
#endif
98 changes: 98 additions & 0 deletions test/prob/beta_neg_binomial/beta_neg_binomial_test.hpp
Original file line number Diff line number Diff line change
@@ -0,0 +1,98 @@
// Arguments: Ints, Doubles, Doubles, Doubles
#include <stan/math/prim/prob/beta_neg_binomial_lpmf.hpp>
#include <stan/math/prim/fun/lbeta.hpp>
#include <stan/math/prim/fun/lgamma.hpp>

using stan::math::var;
using std::numeric_limits;
using std::vector;

class AgradDistributionsBetaNegBinomial : public AgradDistributionTest {
public:
void valid_values(vector<vector<double> >& parameters,
vector<double>& log_prob) {
vector<double> param(4);

param[0] = 5; // n
param[1] = 20.0; // r
param[2] = 10.0; // alpha
param[3] = 25.0; // beta
parameters.push_back(param);
log_prob.push_back(-10.3681267949788); // expected log_prob

param[0] = 10; // n
param[1] = 5.5; // r
param[2] = 2.5; // alpha
param[3] = 0.5; // beta
parameters.push_back(param);
log_prob.push_back(-5.166741878823932); // expected log_prob
}

void invalid_values(vector<size_t>& index, vector<double>& value) {
// n
index.push_back(0U);
value.push_back(-1);

// r
index.push_back(1U);
value.push_back(0.0);

index.push_back(1U);
value.push_back(-1.0);

index.push_back(1U);
value.push_back(std::numeric_limits<double>::infinity());

// alpha
index.push_back(2U);
value.push_back(0.0);

index.push_back(2U);
value.push_back(-1.0);

index.push_back(2U);
value.push_back(std::numeric_limits<double>::infinity());

// beta
index.push_back(3U);
value.push_back(0.0);

index.push_back(3U);
value.push_back(-1.0);

index.push_back(3U);
value.push_back(std::numeric_limits<double>::infinity());
}

template <class T_n, class T_r, class T_size1, class T_size2, typename T4,
typename T5>
stan::return_type_t<T_r, T_size1, T_size2> log_prob(const T_n& n,
const T_r& r,
const T_size1& alpha,
const T_size2& beta,
const T4&, const T5&) {
return stan::math::beta_neg_binomial_lpmf(n, r, alpha, beta);
}

template <bool propto, class T_n, class T_r, class T_size1, class T_size2,
typename T4, typename T5>
stan::return_type_t<T_r, T_size1, T_size2> log_prob(const T_n& n,
const T_r& r,
const T_size1& alpha,
const T_size2& beta,
const T4&, const T5&) {
return stan::math::beta_neg_binomial_lpmf<propto>(n, r, alpha, beta);
}

template <class T_n, class T_r, class T_size1, class T_size2, typename T4,
typename T5>
stan::return_type_t<T_r, T_size1, T_size2> log_prob_function(
const T_n& n, const T_r& r, const T_size1& alpha, const T_size2& beta,
const T4&, const T5&) {
using stan::math::lbeta;
using stan::math::lgamma;

return lbeta(n + r, alpha + beta) - lbeta(r, alpha) + lgamma(n + beta)
- lgamma(n + 1) - lgamma(beta);
}
};