src/misc.c


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#include "misc.h"
#include <math.h>
#include <stdlib.h> /* for size_t */

double logsumexp(double *a, size_t n)
{
    /* Returns the log of the sum of the exponentials of the array `a`.
     *
     * This function is designed to reduce underflow when the exponentials of
     * `a` are very small, for example when computing probabilities. */
    size_t i;
    double amax, sum;

    amax = a[0];
    for (i = 0; i < n; i++) {
        if (a[i] > amax) amax = a[i];
    }

    sum = 0.0;

    for (i = 0; i < n; i++) {
        sum += exp(a[i]-amax);
    }

    sum = log(sum);

    return amax + sum;
}

double norm(double x, double mu, double sigma)
{
    /* Returns the PDF for a gaussian random variable with mean `mu` and
     * standard deviation `sigma`. */
    return exp(-pow(x-mu,2)/(2*pow(sigma,2)))/(sqrt(2*M_PI)*sigma);
}

double norm_cdf(double x, double mu, double sigma)
{
    /* Returns the CDF for a gaussian random variable with mean `mu` and
     * standard deviation `sigma`. */
    return erfc(-(x-mu)/(sqrt(2)*sigma))/2.0;
}