Feature/issue 2966 add 7 parameter ddm cdf and ccdf

[Franzi2114]

Summary

With this PR the CDF and the CCDF of the 7-parameter diffuion model are added.
See issue #2966
Relates to issue #2822

Tests

We implemented analogous tests as for the PDF

Side Effects

no

Release notes

CDF and CCDF for the 7-parameter diffusion model. Allows modeling truncated and censored data.

Checklist

• Copyright holder: Franziska Henrich, Christoph Klauer

  The copyright holder is typically you or your assignee, such as a university or company. By submitting this pull request, the copyright holder is agreeing to the license the submitted work under the following licenses:
  - Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
  - Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

• the basic tests are passing

  • unit tests pass (to run, use: ./runTests.py test/unit)
  • header checks pass, (make test-headers)
  • dependencies checks pass, (make test-math-dependencies)
  • docs build, (make doxygen)
  • code passes the built in C++ standards checks (make cpplint)

• the code is written in idiomatic C++ and changes are documented in the doxygen

• the new changes are tested

[SteveBronder]

Did commit early returns some ifs pass the tests? Or did that one fail from removing nearly_one? To debug this it would be good to start with a version that the tests pass for, make one change, then see what fails. Then we can debug which tests failed to see why and how to fix them.

[SteveBronder]

I checked out e5f5048 and added the test values from the prim wiener_lcdf tests here to the mix tests. All the mix tests that check against finite difference differentiation passed, but the prim test that checks the gradients you calculated do not pass. Where did you get the values of the true gradient values you use in the test in prim? It looks like the only code that changed in that commit were related to the gradient calculations so if they were incorrect I would expect the ad test suite to fail

[SteveBronder]

tbc what I made a branch to show what I did

git pull
git checkout wiener_lpdf/test-vals
## These tests pass
python3 ./runTests.py -j20 ./test/unit/math/mix/prob/ -f wiener_full_lcdf
## Some of these tests fail
python3 ./runTests.py -j20 ./test/unit/math/prim/prob/ -f wiener_full_lc

[Franzi2114]

Only your suggested changes above for wiener4_lccdf yielded errors. The changes I made in wiener4_lcdf are all fine.

I changed the lines in winer4_lccdf to the following three lines:

  const auto exponent = -sign(v) * 2.0 * v * a * w;
  auto prob_grad_w = (v != 0) ? exp(LOG_TWO + log(fabs(v)) + log(a) - log1m_exp(exponent)) : ret_t(1 / w);
  prob_grad_w = (v > 0) ? prob_grad_w * exp(exponent) : prob_grad_w;

Now, all tests should pass. Let's see. Then, you can say, what I shall change next.

[Franzi2114]

Hey Steve, now the errors from before should be fixed and the wildcards are deleted. What next?

[stan-buildbot]

---

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.37	0.34	1.08	7.26% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	0.97	-2.92% slower
gp_regr/gen_gp_data.stan	0.03	0.03	1.17	14.53% faster
gp_regr/gp_regr.stan	0.1	0.09	1.02	1.92% faster
sir/sir.stan	70.16	70.48	1.0	-0.45% slower
irt_2pl/irt_2pl.stan	4.14	4.23	0.98	-2.06% slower
eight_schools/eight_schools.stan	0.06	0.06	1.03	2.68% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.24	1.06	5.57% faster
pkpd/one_comp_mm_elim_abs.stan	19.55	18.56	1.05	5.08% faster
garch/garch.stan	0.45	0.41	1.09	8.48% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.74	2.57	1.06	6.02% faster
arK/arK.stan	1.81	1.7	1.06	5.87% faster
gp_pois_regr/gp_pois_regr.stan	2.84	2.73	1.04	3.84% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.82	8.35	1.06	5.37% faster
performance.compilation	180.17	181.54	0.99	-0.77% slower
Mean result: 1.0441899179284775

---

Jenkins Console Log
Blue Ocean
Commit hash: 33e2a9b0643b749c04e63d6ae4d820d17920d0d6

---

Machine information

No LSB modules are available. Distributor ID: Ubuntu Description: Ubuntu 20.04.3 LTS Release: 20.04 Codename: focal

CPU:
Architecture: x86_64
CPU op-mode(s): 32-bit, 64-bit
Byte Order: Little Endian
Address sizes: 46 bits physical, 48 bits virtual
CPU(s): 80
On-line CPU(s) list: 0-79
Thread(s) per core: 2
Core(s) per socket: 20
Socket(s): 2
NUMA node(s): 2
Vendor ID: GenuineIntel
CPU family: 6
Model: 85
Model name: Intel(R) Xeon(R) Gold 6148 CPU @ 2.40GHz
Stepping: 4
CPU MHz: 2400.000
CPU max MHz: 3700.0000
CPU min MHz: 1000.0000
BogoMIPS: 4800.00
Virtualization: VT-x
L1d cache: 1.3 MiB
L1i cache: 1.3 MiB
L2 cache: 40 MiB
L3 cache: 55 MiB
NUMA node0 CPU(s): 0,2,4,6,8,10,12,14,16,18,20,22,24,26,28,30,32,34,36,38,40,42,44,46,48,50,52,54,56,58,60,62,64,66,68,70,72,74,76,78
NUMA node1 CPU(s): 1,3,5,7,9,11,13,15,17,19,21,23,25,27,29,31,33,35,37,39,41,43,45,47,49,51,53,55,57,59,61,63,65,67,69,71,73,75,77,79
Vulnerability Gather data sampling: Mitigation; Microcode
Vulnerability Itlb multihit: KVM: Mitigation: VMX disabled
Vulnerability L1tf: Mitigation; PTE Inversion; VMX conditional cache flushes, SMT vulnerable
Vulnerability Mds: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Meltdown: Mitigation; PTI
Vulnerability Mmio stale data: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Reg file data sampling: Not affected
Vulnerability Retbleed: Mitigation; IBRS
Vulnerability Spec rstack overflow: Not affected
Vulnerability Spec store bypass: Mitigation; Speculative Store Bypass disabled via prctl
Vulnerability Spectre v1: Mitigation; usercopy/swapgs barriers and __user pointer sanitization
Vulnerability Spectre v2: Mitigation; IBRS; IBPB conditional; STIBP conditional; RSB filling; PBRSB-eIBRS Not affected; BHI Not affected
Vulnerability Srbds: Not affected
Vulnerability Tsx async abort: Mitigation; Clear CPU buffers; SMT vulnerable
Flags: fpu vme de pse tsc msr pae mce cx8 apic sep mtrr pge mca cmov pat pse36 clflush dts acpi mmx fxsr sse sse2 ss ht tm pbe syscall nx pdpe1gb rdtscp lm constant_tsc art arch_perfmon pebs bts rep_good nopl xtopology nonstop_tsc cpuid aperfmperf pni pclmulqdq dtes64 monitor ds_cpl vmx smx est tm2 ssse3 sdbg fma cx16 xtpr pdcm pcid dca sse4_1 sse4_2 x2apic movbe popcnt tsc_deadline_timer aes xsave avx f16c rdrand lahf_lm abm 3dnowprefetch cpuid_fault epb cat_l3 cdp_l3 invpcid_single pti intel_ppin ssbd mba ibrs ibpb stibp tpr_shadow vnmi flexpriority ept vpid ept_ad fsgsbase tsc_adjust bmi1 hle avx2 smep bmi2 erms invpcid rtm cqm mpx rdt_a avx512f avx512dq rdseed adx smap clflushopt clwb intel_pt avx512cd avx512bw avx512vl xsaveopt xsavec xgetbv1 xsaves cqm_llc cqm_occup_llc cqm_mbm_total cqm_mbm_local dtherm ida arat pln pts hwp hwp_act_window hwp_epp hwp_pkg_req pku ospke md_clear flush_l1d arch_capabilities

G++:
g++ (Ubuntu 9.4.0-1ubuntu1~20.04) 9.4.0
Copyright (C) 2019 Free Software Foundation, Inc.
This is free software; see the source for copying conditions. There is NO
warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.

Clang:
clang version 10.0.0-4ubuntu1
Target: x86_64-pc-linux-gnu
Thread model: posix
InstalledDir: /usr/bin

[Franzi2114]

Hey @SteveBronder, any news?