Logpdf support

include/boost/math/distributions/normal.hpp

@@ -166,6 +166,42 @@ inline RealType pdf(const normal_distribution<RealType, Policy>& dist, const Rea
    return result;
 } // pdf
 
+template <class RealType, class Policy>
+inline RealType logpdf(const normal_distribution<RealType, Policy>& dist, const RealType& x)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   RealType sd = dist.standard_deviation();
+   RealType mean = dist.mean();
+
+   static const char* function = "boost::math::logpdf(const normal_distribution<%1%>&, %1%)";
+
+   RealType result = 0;
+   if(false == detail::check_scale(function, sd, &result, Policy()))
+   {
+      return result;
+   }
+   if(false == detail::check_location(function, mean, &result, Policy()))
+   {
+      return result;
+   }
+   if((boost::math::isinf)(x))
+   {
+      return 0; // pdf + and - infinity is zero.
+   }
+   if(false == detail::check_x(function, x, &result, Policy()))
+   {
+      return result;
+   }
+
+   const RealType pi = boost::math::constants::pi<RealType>();
+   const RealType half = boost::math::constants::half<RealType>();
+
+   result = -log(sd) - half*log(2*pi) - (x-mean)*(x-mean)/(2*sd*sd);
+
+   return result;
+}
+
 template <class RealType, class Policy>
 inline RealType cdf(const normal_distribution<RealType, Policy>& dist, const RealType& x)
 {

test/test_normal.cpp

@@ -41,6 +41,8 @@
    using std::setprecision;
 #include <limits>
   using std::numeric_limits;
+#include <type_traits>
+  using std::log;
 
 template <class RealType>
 RealType NaivePDF(RealType mean, RealType sd, RealType x)
@@ -219,6 +221,13 @@ void test_spots(RealType)
    //
    // Tests for logpdf
    //
+   RealType temp_tol = tolerance;
+
+   BOOST_IF_CONSTEXPR (std::is_same<long double, RealType>::value)
+   {
+      tolerance *= 100;
+   }
+
    BOOST_CHECK_CLOSE(
       logpdf(normal_distribution<RealType>(), static_cast<RealType>(0)),
       log(static_cast<RealType>(0.3989422804014326779399460599343818684759L)), // 1/sqrt(2*pi)
@@ -232,6 +241,8 @@ void test_spots(RealType)
       log(static_cast<RealType>(0.3989422804014326779399460599343818684759L / 5)),
       tolerance);
 
+   tolerance = temp_tol;
+
    //
    // Spot checks for mean = -5, sd = 6:
    //