[eigen-commits] commit/eigen: 4 new changesets

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4 new commits in eigen:

https://bitbucket.org/eigen/eigen/commits/6918c0f59ddd/
Changeset:   6918c0f59ddd
Branch:      gamma-der-a
User:        mfigurnov
Date:        2018-06-06 17:49:26+00:00
Summary:     Derivative of the incomplete Gamma function and the sample of a Gamma random variable.

In addition to igamma(a, x), this code implements:
* igamma_der_a(a, x) = d igamma(a, x) / da -- derivative of igamma with respect to the parameter
* gamma_sample_der_alpha(alpha, sample) -- reparameterization derivative of a Gamma(alpha, 1) random variable sample with respect to the alpha parameter

The derivatives are computed by forward mode differentiation of the igamma(a, x) code. Although gamma_sample_der_alpha can be implemented via igamma_der_a, a separate function is more accurate and efficient due to analytical cancellation of some terms. All three functions are implemented by a method parameterized with "mode" that always computes the derivatives, but does not return them unless required by the mode. The compiler is expected to (and, based on benchmarks, does) skip the unnecessary computations depending on the mode.
Affected #:  12 files

https://bitbucket.org/eigen/eigen/commits/59d76f96ec3b/
Changeset:   59d76f96ec3b
Branch:      gamma-der-a
User:        mfigurnov
Date:        2018-06-07 11:03:58+00:00
Summary:     Updated the stopping criteria in igammac_cf_impl.

Previously, when computing the derivative, it used a relative error threshold. Now it uses an absolute error threshold. The behavior for computing the value is unchanged. This makes more sense since we do not expect the derivative to often be close to zero. This change makes the derivatives about 30% faster across the board. The error for the igamma_der_a is almost unchanged, while for gamma_sample_der_alpha it is a bit worse for float32 and unchanged for float64.
Affected #:  1 file

https://bitbucket.org/eigen/eigen/commits/523fc3765ee0/
Changeset:   523fc3765ee0
Branch:      gamma-der-a
User:        mfigurnov
Date:        2018-06-07 16:57:56+00:00
Summary:     Merge from eigen/eigen
Affected #:  70 files

https://bitbucket.org/eigen/eigen/commits/7a835107faf8/
Changeset:   7a835107faf8
User:        benoitsteiner
Date:        2018-06-11 17:57:47+00:00
Summary:     Merged in mfigurnov/eigen/gamma-der-a (pull request #403)

Derivative of the incomplete Gamma function and the sample of a Gamma random variable

Approved-by: Benoit Steiner <benoit.steiner.goog@xxxxxxxxx>
Affected #:  12 files

Repository URL: https://bitbucket.org/eigen/eigen/

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