log_sum_exp.hpp

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#ifndef STAN__MATH__FUNCTIONS__LOG_SUM_EXP_HPP
#define STAN__MATH__FUNCTIONS__LOG_SUM_EXP_HPP

#include <stan/math/functions/log1p_exp.hpp>
#include <vector>
#include <boost/math/tools/promotion.hpp>
#include <limits>

namespace stan {
  namespace math {

    template <typename T1, typename T2>
    inline typename boost::math::tools::promote_args<T1,T2>::type
    log_sum_exp(const T2& a, const T1& b) {
      using std::exp;
      if (a > b)
        return a + log1p_exp(b - a);
      return b + log1p_exp(a - b);
    }

    double log_sum_exp(const std::vector<double>& x) {
      using std::numeric_limits;
      using std::log;
      using std::exp;
      double max = -numeric_limits<double>::infinity();
      for (size_t ii = 0; ii < x.size(); ii++) 
        if (x[ii] > max) 
          max = x[ii];
            
      double sum = 0.0;
      for (size_t ii = 0; ii < x.size(); ii++) 
        if (x[ii] != -numeric_limits<double>::infinity()) 
          sum += exp(x[ii] - max);
          
      return max + log(sum);
    }


  }
}

#endif