Merge branch 'feature/3299-diagnostics-chainset' of https://github.co…

…m/stan-dev/stan into feature/3299-diagnostics-chainset

src/stan/mcmc/chainset.hpp

@@ -9,8 +9,7 @@
 #include <boost/accumulators/accumulators.hpp>
 #include <boost/accumulators/statistics/stats.hpp>
 #include <boost/accumulators/statistics/mean.hpp>
-#include <boost/accumulators/statistics/tail_quantile.hpp>
-#include <boost/accumulators/statistics/p_square_quantile.hpp>
+#include <boost/accumulators/statistics/median.hpp>
 #include <boost/accumulators/statistics/variance.hpp>
 #include <boost/accumulators/statistics/covariance.hpp>
 #include <boost/accumulators/statistics/variates/covariate.hpp>
@@ -249,9 +248,7 @@ class chainset {
    * @param index parameter index
    * @return median
    */
-  double median(const int index) const {
-    return quantile(index, 0.5);
-  }
+  double median(const int index) const { return (quantile(index, 0.5)); }
 
   /**
    * Compute median value of specified parameter across all chains.
@@ -277,9 +274,9 @@ class chainset {
     auto center = median(index);
     Eigen::MatrixXd abs_dev = (draws.array() - center).abs();
     size_t idx = static_cast<size_t>(0.5 * (abs_dev.size() - 1));
-    std::vector<double> sorted(abs_dev.data(), abs_dev.data() + abs_dev.size());
-    std::nth_element(sorted.begin(), sorted.begin() + idx, sorted.end());
-    return 1.4826 * sorted[idx];
+    std::vector<double> copy(abs_dev.data(), abs_dev.data() + abs_dev.size());
+    std::nth_element(copy.begin(), copy.begin() + idx, copy.end());
+    return 1.4826 * copy[idx];
   }
 
   /**
@@ -313,10 +310,10 @@ class chainset {
       throw std::out_of_range("Probability must be between 0 and 1.");
     }
     Eigen::MatrixXd draws = samples(index);
-    size_t idx = static_cast<size_t>(prob * (draws.size() - 1));
-    std::vector<double> sorted(draws.data(), draws.data() + draws.size());
-    std::nth_element(sorted.begin(), sorted.begin() + idx, sorted.end());
-    return sorted[idx];
+    std::vector<double> copy(draws.data(), draws.data() + draws.size());
+    int idx = static_cast<int>(prob * (copy.size() - 1));
+    std::nth_element(copy.begin(), copy.begin() + idx, copy.end());
+    return copy[idx];
   }
 
   /**
@@ -351,12 +348,8 @@ class chainset {
     if (probs.minCoeff() < 0.0 || probs.maxCoeff() > 1.0) {
       throw std::out_of_range("Probabilities must be between 0 and 1.");
     }
-    Eigen::MatrixXd draws = samples(index);
-    std::vector<double> sorted(draws.data(), draws.data() + draws.size());
-    std::sort(sorted.begin(), sorted.end());
     for (size_t i = 0; i < probs.size(); ++i) {
-      size_t idx = static_cast<size_t>(probs[i] * (sorted.size() - 1));
-      quantiles[i] = sorted[idx];
+      quantiles[i] = quantile(index, probs[i]);
     }
     return quantiles;
   }