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Compute logistic and logistic_logjac together #42
Description
I noticed this bit of code:
logistic(x::Real) = inv(one(x) + exp(-x))
function logistic_logjac(x::Real)
mx = -abs(x)
mx - 2*log1p(exp(mx))
endThere's a neat trick that can speed this up. If we write σ=logistic (for brevity) then
σ'=σ*(1-σ)
So something like
function logistic_with_logjac(x::Real)
y = logistic(x)
(y, log(y*(1-y)))
end
Activity
tpapp commentedon Apr 24, 2019
I think there was an earlier version that did something like this, but I think the current solution is better numerically when
yis close to1or0. But perhaps investigating this (eg by comparing to a higher precision float, orBigFloat) and also benchmarking could be worthwhile.cscherrer commentedon Apr 24, 2019
Good point, definitely worth checking the numerical behavior