redpony

#ifndef _ALIAS_SAMPLER_H_
#define _ALIAS_SAMPLER_H_

#include <vector>
#include <limits>

// Placed in the public domain by Chris Dyer <[email protected]>
// April 9, 2012
//
// R. A. Kronmal and A. V. Peterson, Jr. (1977) On the alias method for

redpony

#ifndef LOGVAL_H_
#define LOGVAL_H_

// represent values internally in the log domain (much larger effective range than float,
// double, or long double). useful for very small probabilities or very large unnormalized
// probabilities while avoiding underflows/overflows.
//
// this should be used as if it were a double or float, i.e. for doubles a and b:
//     a * b = LogVal(a) * LogVal(b)
//     a + b = LogVal(a) + LogVal(b)

redpony

// set use_cholesky if M is symmetric - it's faster and more stable
// for dep paring it won't be
template <typename MatrixType>
inline typename MatrixType::Scalar logdet(const MatrixType& M, bool use_cholesky = false) {
  using namespace Eigen;
  using std::log;
  typedef typename MatrixType::Scalar Scalar;
  Scalar ld = 0;
  if (use_cholesky) {
    LLT<Matrix<Scalar,Dynamic,Dynamic>> chol(M);