Add transform_logdensity.

src/TransformVariables.jl

@@ -7,7 +7,7 @@ using LinearAlgebra: UpperTriangular
 using DocStringExtensions: SIGNATURES
 using Parameters: @unpack
 
-export transform, transform_and_logjac, inverse
+export transform, transform_and_logjac, transform_logdensity, inverse
 
 
 # utilities
@@ -54,6 +54,11 @@ transform(t::TransformReals, x::RealVector) = first(_transform(t, NOLOGJAC, x))
 
 transform_and_logjac(t::TransformReals, x::RealVector) = _transform(t, LOGJAC, x)
 
+function transform_logdensity(t::TransformReals, f, x)
+    y, ℓ = transform_and_logjac(t, x)
+    ℓ + f(y)
+end
+
 include("utilities.jl")
 include("scalar.jl")
 include("special_arrays.jl")

test/runtests.jl

@@ -147,3 +147,16 @@ end
     @test y == y2
     @test lj2 ≈ ljacc
 end
+
+@testset "transform logdensity" begin
+    # the density is p(σ) = σ⁻³
+    # let z = log(σ), so σ = exp(z)
+    # the transformed density is q(z) = -3z + z = -2z
+    f(σ) = -3*log(σ)
+    q(z) = -2*z
+    for _ in 1:1000
+        z = randn()
+        qz = transform_logdensity(to_ℝ₊, f, [z])
+        @test q(z) ≈ qz
+    end
+end