Thanks @Franzi2114

If you can provide me the Stan signatures of these new functions I can put together the compiler PR rather quickly!

Do you mean this one from the Stan_math_signatures.ml file in stanc3?

With the old name I had the following line:
; ([Lpdf; Ccdf; Cdf], "wiener", [DReal; DReal; DReal; DReal; DReal; DReal; DReal; DReal], SoA)

Would it now be this one?
; ([Lpdf; Ccdf_defective; Cdf_defective], "wiener", [DReal; DReal; DReal; DReal; DReal; DReal; DReal; DReal], SoA)

If you have the time, it would also be great to at least add these to the functions reference documentation https://github.com/stan-dev/docs/blob/master/src/functions-reference/positive_lower-bounded_distributions.qmd#L158

What is this? Are here all possible function calls listed?

Why is it wiener_lupdf here with the u inside the name? How would it look like for the cdf functions?

Actually, all functions are implemented in the way that the user is able to set the precision of the partial derivatives. This shall increase the speed of the computations. This is implemented like this, with the last parameter for the precision:

inline auto wiener_lcdf_defective(const T_y& y, const T_a& a, const T_t0& t0,
                                  const T_w& w, const T_v& v, const T_sv& sv,
                                  const T_sw& sw, const T_st0& st0,
                                  const double& precision_derivatives = 1e-8) {

Is this already possible with these signatures or should we also add an entry like:

`real` **`wiener_lupdf`**`(real y | real alpha, real tau, real beta, real delta, real var_delta, real var_beta, real var_tau, real precision)`<br>\newline

Do you mean this one from the Stan_math_signatures.ml file in stanc3?

I don't mean in OCaml code, just the valid signatures. Right now, here's whats there for wiener_lpdf with 6 or 8 arguments

wiener_lpdf(real, real, real, real, real, real) => real
wiener_lpdf(real, real, real, real, real, real, real, real) => real
wiener_lpdf(vector, vector, vector, vector, vector, vector) => real
wiener_lpdf(vector, vector, vector, vector, vector, vector, vector, vector) => real

Looking at this PR, it looks like the cdf/ccdf takes either 5 or 8 arguments, rather than 6 or 8. Is that correct?

What is this? Are here all possible function calls listed?

This is the document that gets turned into https://mc-stan.org/docs/functions-reference/positive_lower-bounded_distributions.html#wiener-first-passage-time-distribution

In particular, I would mostly need your help writing out the math and the names for the arguments, etc. The specially formatted comments etc I can handle (they're used for things like generating an index of all functions)

Actually, all functions are implemented in the way that the user is able to set the precision of the partial derivatives.

This is not currently implemented by the compiler, but it would be possible to expose to the user with new overloads. We're lucky that we can still tell them apart just by length (if one of the non-precision overloads had 7 arguments, then 7+precision = 8 and that would be ambiguous with the 8-argument non-precision)

Ok, so the following function calls should work:

wiener_lpdf(y, a, t0, w, v, sv)                              -> 6 arguments
wiener_lpdf(y, a, t0, w, v, sv, precision)             -> 7 arguments
wiener_lpdf(y, a, t0, w, v, sv, sw, st0)                 -> 8 arguments 
wiener_lpdf(y, a, t0, w, v, sv, sw, st0, precision) -> 9 arguments 

In both variants with real and vector (where the precision is always a real):

wiener_lpdf(real, real, real, real, real, real) => real
wiener_lpdf(real, real, real, real, real, real, real) => real
wiener_lpdf(real, real, real, real, real, real, real, real) => real
wiener_lpdf(real, real, real, real, real, real, real, real, real) => real
wiener_lpdf(vector, vector, vector, vector, vector, vector) => real
wiener_lpdf(vector, vector, vector, vector, vector, vector, real) => real
wiener_lpdf(vector, vector, vector, vector, vector, vector, vector, vector) => real
wiener_lpdf(vector, vector, vector, vector, vector, vector, vector, vector, real) => real

This is analog with the cdf/ccdf functions:

wiener_lc(c)df(y, a, t0, w, v)   -> 5 arguments
wiener_lc(c)df(y, a, t0, w, v, precision)   -> 6 arguments
wiener_lc(c)df(y, a, t0, w, v, sv, sw, st0)   -> 8 arguments 
wiener_lc(c)df(y, a, t0, w, v, sv, sw, st0, precision) -> 9 arguments 

In both variants with real and vector (where the precision is always a real):

wiener_lcdf(real, real, real, real, real) => real
wiener_lcdf(real, real, real, real, real, real) => real
wiener_lcdf(real, real, real, real, real, real, real, real) => real
wiener_lcdf(real, real, real, real, real, real, real, real, real) => real
wiener_lcdf(vector, vector, vector, vector, vector) => real
wiener_lcdf(vector, vector, vector, vector, vector, real) => real
wiener_lcdf(vector, vector, vector, vector, vector, vector, vector, vector) => real
wiener_lcdf(vector, vector, vector, vector, vector, vector, vector, vector, real) => real

wiener_lccdf(real, real, real, real, real) => real
wiener_lccdf(real, real, real, real, real, real) => real
wiener_lccdf(real, real, real, real, real, real, real, real) => real
wiener_lccdf(real, real, real, real, real, real, real, real, real) => real
wiener_lccdf(vector, vector, vector, vector, vector) => real
wiener_lccdf(vector, vector, vector, vector, vector, real) => real
wiener_lccdf(vector, vector, vector, vector, vector, vector, vector, vector) => real
wiener_lccdf(vector, vector, vector, vector, vector, vector, vector, vector, real) => real

Does this help?

That sounds good!

@Franzi2114 I'm getting an unused variable warning for params_dt7 in the new code -- is that a bug, or just a variable that should be cleaned up?

@Franzi2114, wiener_lccdf_defective in stan/math/prim/prob/wiener4_lccdf_defective.hpp is missing a default value for precision_derivatives. Looking at the lcdf, should it be 1e-4?

is missing a default value for precision_derivatives. Looking at the lcdf, should it be 1e-4?

Oh, indeed! Yes, this should also be 1e-4 as in the other function. Do you want to add this or shall I do another PR?

unused variable warning for params_dt7 in the new code -- is that a bug, or just a variable that should be cleaned up?

I just checked this. This is not used in the code and can therefore be deleted in both wiener_full_lcdf_defective and wiener_full_lccdf_defective. Probably, this is an artefact from one of our numerous review rounds ... sorry for that!

If you want, I can do another PR where I add the precision default value and delete these two unused variables. Or do you want to do it, @WardBrian?

I’m happy to do it, there are few other uninteresting testing-related changes that are needed that I will be doing as well. Thanks for confirming!