softmax.hpp

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#ifndef __STAN__MATH__MATRIX__SOFTMAX_HPP__
#define __STAN__MATH__MATRIX__SOFTMAX_HPP__

#include <stan/math/matrix/Eigen.hpp>
#include <stan/math/matrix/validate_nonzero_size.hpp>

namespace stan {
  namespace math {

    template <typename T>
    inline Eigen::Matrix<T,Eigen::Dynamic,1>
    softmax(const Eigen::Matrix<T,Eigen::Dynamic,1>& v) {
      using std::exp;
      stan::math::validate_nonzero_size(v,"vector softmax");
      Eigen::Matrix<T,Eigen::Dynamic,1> theta(v.size());
      T sum(0.0);
      T max_v = v.maxCoeff();
      for (int i = 0; i < v.size(); ++i) {
        theta[i] = exp(v[i] - max_v);
        sum += theta[i];
      }
      for (int i = 0; i < v.size(); ++i)
        theta[i] /= sum;
      return theta;
    }

  }
}
#endif