softmax.hpp

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#ifndef __STAN__MATH__FUNCTIONS__SOFTMAX_HPP__
#define __STAN__MATH__FUNCTIONS__SOFTMAX_HPP__

#include <boost/math/tools/promotion.hpp>
#include <stdexcept>
#include <boost/throw_exception.hpp>

namespace stan {
  namespace math {

    // hide helper for now; could use Eigen here
    namespace {
      template <typename Vector, typename Scalar>
      Scalar maximum(const Vector& x) {
        if(x.size() == 0)
          BOOST_THROW_EXCEPTION(std::invalid_argument ("x must have at least one element"));
        Scalar max_x(x[0]);
        for (typename Vector::size_type i = 1; i < x.size(); ++i)
          if (x[i] < max_x)
            max_x = x[i];
        return max_x;
      }
    }

    template <typename Vector, typename Scalar>
    void softmax(const Vector& x, Vector& simplex) {
      using std::exp;
      if (x.size() != simplex.size()) 
        BOOST_THROW_EXCEPTION(std::invalid_argument ("x.size() != simplex.size()"));
      Scalar sum(0.0); 
      Scalar max_x = maximum<Vector,Scalar>(x);
      for (typename Vector::size_type i = 0; i < x.size(); ++i) {
        simplex[i] = exp(x[i]-max_x);
        sum += simplex[i];
      }
      for (typename Vector::size_type i = 0; i < x.size(); ++i)
        simplex[i] /= sum;
    }

  }
}

#endif