log_sum_exp.hpp

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#ifndef STAN__MATH__MATRIX__LOG_SUM_EXP_HPP
#define STAN__MATH__MATRIX__LOG_SUM_EXP_HPP

#include <limits>
#include <vector>
#include <boost/math/tools/promotion.hpp>
#include <stan/math/functions/log1p.hpp>
#include <stan/math/matrix/Eigen.hpp>


namespace stan {

  namespace math {

    template <int R, int C>
    double log_sum_exp(const Eigen::Matrix<double,R,C>& x) {
      using std::numeric_limits;
      using std::log;
      using std::exp;
      double max = -numeric_limits<double>::infinity();
      for (int i = 0; i < x.size(); i++) 
        if (x(i) > max) 
          max = x(i);

      double sum = 0.0;
      for (int i = 0; i < x.size(); i++) 
        if (x(i) != -numeric_limits<double>::infinity()) 
          sum += exp(x(i) - max);
          
      return max + log(sum);
    }

  }
}

#endif