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Derivatives of log_sum_exp are wrong for large arguments #1679

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Derivatives of log_sum_exp are wrong for large arguments#1679
Milestone
3.2.0

Description

@martinmodrak
martinmodrak
opened on Feb 6, 2020

Description

When both arguments to log_sum_exp are large, the reverse mode derivatives can be wrong.

Example & expected output

We can arrive at a simple identity:
f(x) = d/dx(log_sum_exp(x,x)) == 1 for all x.

Currently Stan computes

f(1e10) = 0.99999952125830205
f(1e50) = 2

Current Version:

v3.1.0

Activity

  1. pgree
    added a commit that references this issue on Mar 10, 2020

    change derivative calculation for log_sum_exp; fixes stan-dev#1679

    5fd8e2b
  2. bbbales2
    closed this as completedin 5fd8e2bon Mar 19, 2020
  3. mcol
    added this to the 3.1.0++ milestone on Mar 25, 2020
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