Line data    Source code

       1             : /**
       2             :    Bojan Nikolic <bojan@bnikolic.co.uk> 
       3             :    Initial version 2008
       4             : 
       5             :    This file is part of BNMin1 and is licensed under GNU General
       6             :    Public License version 2
       7             : 
       8             :    \file metro_propose.hxx
       9             :    Renamed to metro_propose.h
      10             : 
      11             :    Calculation of proposal points for Metropolis sampling
      12             : */
      13             : #ifndef _BNMIN1_METRO_PROPOSAL_HXX__
      14             : #define _BNMIN1_METRO_PROPOSAL_HXX__
      15             : 
      16             : #include <vector>
      17             : 
      18             : #include <random>
      19             : 
      20             : namespace Minim {
      21             : 
      22             :   /** \brief A helper class which handles the random number parts of
      23             :       the Metropolis algorithm
      24             : 
      25             :       The two objectives of this class functions are to generate the
      26             :       proposal points [via the function displace()] and to generate
      27             :       uniform random numbers for accepting less likely points
      28             : 
      29             :       It encapsulates a random number generator 
      30             :    */
      31             :   class MetroPropose {
      32             : 
      33             :   protected:
      34             :     
      35             :     /// Standard distributions of the proposal points
      36             :     std::vector<double> sigmas;
      37             : 
      38             :     // Stuff for random numbers
      39             :     typedef std::mt19937  base_generator_type;
      40             :     base_generator_type generator;
      41             :     std::normal_distribution<double> norm_dist;
      42             :     std::uniform_real_distribution<double> uni_dist;
      43             :         
      44             :     
      45             :   public:
      46             :     
      47             :     // ---------- Construction / Destruction --------------
      48             : 
      49             :     /**
      50             :        \param sigmas The standard distribution to be used for each of
      51             :        the parameters that is being varied in the model
      52             :      */
      53             :     MetroPropose(const std::vector<double> & sigmas,
      54             :                  unsigned seed=0);
      55             :     
      56             :     virtual ~MetroPropose();
      57             : 
      58             :     // ---------- Public interface --------------------------
      59             : 
      60             :     /// Normal distribution for creating proposal points
      61             :     double norm();
      62             : 
      63             :     /// Uniform distribution for accepting according to probability
      64             :     double uni();
      65             :     
      66             :     /**
      67             :        Generate a proposad point by displacing the point x
      68             :     */
      69             :     virtual void displace(std::vector<double> &x);
      70             : 
      71             :     /**
      72             :        \returns number of parameters to propose for
      73             :     */
      74             :     size_t nPars(void);
      75             : 
      76             :     /**
      77             :       Generate a uniform number between zero and one for acceptance
      78             :       probability
      79             :     */
      80           0 :     double raccept(void)
      81             :     {
      82           0 :       return uni();
      83             :     }
      84             : 
      85             :     /** \brief Scale the variance of the of the proposal distributions
      86             :      */
      87             :     void scaleSigma(double c);
      88             :   
      89             :   };
      90             : 
      91             :   /** \brief Proposes each parameter in turn
      92             : 
      93             :      Intead of displacing the entire vector at once, each parameter is
      94             :      displaced in turn. See MetropolisMCMC::Options::Sequence.
      95             :    */
      96             :   class MetroProposeSeq :
      97             :     public MetroPropose
      98             :   {
      99             : 
     100             :     size_t count;
     101             : 
     102             :     const size_t n;
     103             : 
     104             :   public:
     105             : 
     106             :     // ---------- Construction / Destruction --------------
     107             : 
     108             :     MetroProposeSeq(const std::vector<double> & sigmas,
     109             :                     unsigned seed=0);
     110             : 
     111             :     // ---------- Public interface --------------------------
     112             :     virtual void displace( std::vector<double> &x);
     113             : 
     114             :   };
     115             : 
     116             : }
     117             : 
     118             : #endif