Markov Chain Monte Carlo base class. Implemented the basic and most general MCMC algorithms. More...

#include <mcmc.h>

Classes
struct	chainstate

struct	outputInfo

Public Member Functions
	MCMC (double(logposterior)(Array1D< double > &, void ), void *postinfo)
	Constructor when given a pointer to a logPosterior function and a pointer to additional information (e.g. data)

	MCMC (LogPosteriorBase &L)
	Constructor when given a LogPosterior Base class object.

	MCMC ()
	Dummy Constructor, used for TMCMC.

void	setWriteFlag (int I)
	Set the write flag function given an integer.

void	setFcnAccept (void(fcnAccept)(void ))
	Set the accept and reject functions.

void	setFcnReject (void(fcnReject)(void ))

void	setChainDim (int chdim)
	Set the dimensions of the chain given an integer.

void	initChainPropCov (Array2D< double > &propcov)
	Initialize proposal covariance matrix given as a 2d-array For aMCMC, this matrix is used only before adaptivity starts.

void	initChainPropCovDiag (Array1D< double > &sig)
	Initialize proposal covariance matrix given its 1d-array diagonal For aMCMC, this matrix is used only before adaptivity starts.

void	setOutputInfo (string outtype, string file, int freq_file, int freq_screen)
	Set output specification struct, type('txt' or 'bin'), filename, frequency of outputs to the file and to screen.

void	namesPrepended ()
	Set the indicator to confirm that the names of parameters are prepended in the output file.

void	setSeed (int seed)
	Set random generation seed.

void	setLower (double lower, int i)
	Set lower bound at the index of i.

void	setUpper (double upper, int i)
	Set upper bound at the index of i.

void	setDefaultDomain ()
	Set default unbounded domain.

void	setPostInfo (void *postinfo)
	Set the Posterior Info pointer.

void	getChainPropCov (Array2D< double > &propcov)
	Returns proposal covariance matrix.

string	getFilename ()
	Get the name of the chain file.

int	getWriteFlag ()
	Get the value of the write flag as an integer.

void	getSamples (int burnin, int every, Array2D< double > &samples)
	Get samples of the chain with burnin and thining.

void	getSamples (Array2D< double > &samples)
	Get all samples of the chain.

void	getFcnAccept (void(fcnAccept)(void ))
	Get the accept and reject functions given a pointer.

void	getFcnReject (void(fcnReject)(void ))

string	getOutputType ()
	Get the output file type as a string.

int	getFileFreq ()
	Get the frequency of output to file.

int	getScreenFreq ()
	Get the frequency of output to the screen.

bool	getNamesPrepended ()
	Get if the names are prepended.

int	getSeed ()
	Get the seed used for random generation.

double	getLower (int i)
	Get the lower bounds based on an index i.

double	getUpper (int i)
	Get the upper bounds based on an index i.

bool	getDimInit ()
	Get if the Chain Dimensions are initialized.

void	getPostInfo (void *post)
	Get post info pointer.

bool	getPropCovInit ()
	Get if the Prop Cov has been initialized.

bool	getOutputInit ()
	Get if the output info has been initialized.

int	getLastWrite ()
	Get last write.

bool	getFcnAcceptInit ()
	Get if the accept and reject functions are initialized.

bool	getFcnRejectInit ()

virtual int	getNSubSteps ()
	Get function for number of sub steps.

int	getLowerFlag (int i)
	Get function for the lower and upper Flag at index i.

int	getUpperFlag (int i)

void	getAcceptRatio (double *accrat)
	Get the chain's acceptance ratio.

double	getAcceptRatio ()
	Get the chain's acceptance ratio as a double.

int	GetChainDim () const
	Get the MCMC chain dimensionality.

void	resetChainState ()
	Reset the chain state.

void	resetChainFilename (string filename)
	Reset to a new chain file.

void	parseBinChain (string filename, Array1D< chainstate > &readchain)
	An auxiliary function to parse the binary file and produce an array of chain-states.

void	writeFullChainTxt (string filename, Array1D< chainstate > fullchain)
	Write an array of chain-states to a file.

void	getFullChain (Array1D< chainstate > &readchain)
	Get full chain as an array of chain-states.

void	appendMAP ()
	Append MAP state to the end.

double	getMode (Array1D< double > &MAPparams)
	Get MAP parameters.

int	getFullChainSize ()
	Get the full chain size.

void	setCurrentStateStep (int i)
	Function to set the step of the current state.

void	getCurrentStateState (Array1D< double > &state)
	Function to get the state of the current state.

double	getCurrentStatePost ()
	Function to get the post of the current state.

void	setCurrentStateState (Array1D< double > &newState)
	Function to set the current state's state.

void	setCurrentStatePost (double newPost)
	Function to set the current state's post.

void	setCurrentStateAlfa (double newAlfa)
	Function to set the current state's alfa.

double	getModeStatePost ()
	Function to get the mode state's post.

void	getModeStateState (Array1D< double > &state)
	Function to get the mode state's state.

virtual void	runOptim (Array1D< double > &start)
	The optimization routine.

virtual void	runChain (int ncalls, Array1D< double > &chstart)=0
	The actual function that generates MCMC.

virtual void	runChain (int ncalls)=0
	Start an MCMC chain with trivial initial condition.

void	runAcceptFcn ()
	Function to run the accept function.

void	runRejectFcn ()
	Function to run the reject function.

bool	newModeFound ()
	Check to see if a new mode was found during last call to runChain.

double	evalLogPosterior (Array1D< double > &m)
	Function to evaluate the log-posterior.

bool	inDomain (Array1D< double > &m)
	Check if a point is in the domain.

void	writeChainTxt (string filename)
	Write the full chain as a text.

void	writeChainBin (string filename)
	Write the full chain as a binary file.

void	setNewMode (bool value)
	Function to set a new mode value.

Protected Member Functions
void	setAcceptRatio (double d)
	Set the acceptance ratio.

void	addCurrentState ()
	Function to add the current chain state to the full chain.

void	updateMode ()
	Function to update the Chain mode.

void	setLastWrite (int i)
	Set last write.

Protected Attributes
dsfmt_t	RandomState

Private Member Functions
virtual double	probOldNew (Array1D< double > &a, Array1D< double > &b)

Private Attributes
int	WRITE_FLAG

int	FLAG

LogPosteriorBase *	L_

struct MCMC::outputInfo	outputinfo_

int	chainDim_

double(*	logPosterior_ )(Array1D< double > &, void *) = NULL

void(*	fcnAccept_ )(void *) = NULL

void(*	fcnReject_ )(void *) = NULL

void *	postInfo_ = NULL

Array2D< double >	chcov

int	seed_

chainstate	currState_

chainstate	modeState_

Array1D< chainstate >	fullChain_

int	lastwrite_

bool	namesPrepend = false

bool	newMode_ = false

double	accRatio_ = -1.0

bool	chaindimInit_ = false

bool	propcovInit_ = false

bool	methodInit_ = false

bool	outputInit_ = false

bool	fcnAcceptFlag_ = false

bool	fcnRejectFlag_ = false

Array1D< double >	Lower_
	Lower bounds.

Array1D< double >	Upper_
	Upper bounds.

Array1D< int >	lower_flag_
	Lower bound existence flags.

Array1D< int >	upper_flag_
	Upper bound existence flags.

Detailed Description

Markov Chain Monte Carlo base class. Implemented the basic and most general MCMC algorithms.

Constructor & Destructor Documentation

◆ MCMC() [1/3]

MCMC::MCMC	(	double(*	logposterior )(Array1D< double > &, void *),
		void *	postinfo )

Constructor when given a pointer to a logPosterior function and a pointer to additional information (e.g. data)

Note: Constructor using the pointer to the logPosterior and to the posterior information

◆ MCMC() [2/3]

MCMC::MCMC ( LogPosteriorBase & L )

Constructor when given a LogPosterior Base class object.

Note: Constructor using a LogPosteriorBase class object

◆ MCMC() [3/3]

MCMC::MCMC ( )

Dummy Constructor, used for TMCMC.

Note: Dummy Constructor for TMCMC

Member Function Documentation

◆ addCurrentState()

void MCMC::addCurrentState ( )

protected

Function to add the current chain state to the full chain.

◆ appendMAP()

void MCMC::appendMAP ( )

Append MAP state to the end.

◆ evalLogPosterior()

double MCMC::evalLogPosterior ( Array1D< double > & m )

Function to evaluate the log-posterior.

◆ getAcceptRatio() [1/2]

double MCMC::getAcceptRatio ( )

Get the chain's acceptance ratio as a double.

◆ getAcceptRatio() [2/2]

void MCMC::getAcceptRatio ( double * accrat )

Get the chain's acceptance ratio.

◆ GetChainDim()

int MCMC::GetChainDim ( ) const

Get the MCMC chain dimensionality.

◆ getChainPropCov()

void MCMC::getChainPropCov ( Array2D< double > & propcov )

Returns proposal covariance matrix.

Note: Get the proposal covariance matrix given a 2d-array

◆ getCurrentStatePost()

double MCMC::getCurrentStatePost ( )

Function to get the post of the current state.

◆ getCurrentStateState()

void MCMC::getCurrentStateState ( Array1D< double > & state )

Function to get the state of the current state.

◆ getDimInit()

bool MCMC::getDimInit ( )

Get if the Chain Dimensions are initialized.

◆ getFcnAccept()

void MCMC::getFcnAccept ( void(* fcnAccept )(void *) )

Get the accept and reject functions given a pointer.

◆ getFcnAcceptInit()

bool MCMC::getFcnAcceptInit ( )

Get if the accept and reject functions are initialized.

◆ getFcnReject()

void MCMC::getFcnReject ( void(* fcnReject )(void *) )

◆ getFcnRejectInit()

bool MCMC::getFcnRejectInit ( )

◆ getFileFreq()

int MCMC::getFileFreq ( )

Get the frequency of output to file.

◆ getFilename()

string MCMC::getFilename ( )

Get the name of the chain file.

◆ getFullChain()

void MCMC::getFullChain ( Array1D< chainstate > & readchain )

Get full chain as an array of chain-states.

◆ getFullChainSize()

int MCMC::getFullChainSize ( )

Get the full chain size.

◆ getLastWrite()

int MCMC::getLastWrite ( )

Get last write.

◆ getLower()

double MCMC::getLower ( int i )

Get the lower bounds based on an index i.

◆ getLowerFlag()

int MCMC::getLowerFlag ( int i )

Get function for the lower and upper Flag at index i.

◆ getMode()

double MCMC::getMode ( Array1D< double > & MAPparams )

Get MAP parameters.

◆ getModeStatePost()

double MCMC::getModeStatePost ( )

Function to get the mode state's post.

◆ getModeStateState()

void MCMC::getModeStateState ( Array1D< double > & state )

Function to get the mode state's state.

◆ getNamesPrepended()

bool MCMC::getNamesPrepended ( )

Get if the names are prepended.

◆ getNSubSteps()

virtual int MCMC::getNSubSteps ( )

inlinevirtual

Get function for number of sub steps.

◆ getOutputInit()

bool MCMC::getOutputInit ( )

Get if the output info has been initialized.

◆ getOutputType()

string MCMC::getOutputType ( )

Get the output file type as a string.

◆ getPostInfo()

void MCMC::getPostInfo ( void * post )

Get post info pointer.

◆ getPropCovInit()

bool MCMC::getPropCovInit ( )

Get if the Prop Cov has been initialized.

◆ getSamples() [1/2]

void MCMC::getSamples ( Array2D< double > & samples )

Get all samples of the chain.

◆ getSamples() [2/2]

void MCMC::getSamples	(	int	burnin,
		int	every,
		Array2D< double > &	samples )

Get samples of the chain with burnin and thining.

◆ getScreenFreq()

int MCMC::getScreenFreq ( )

Get the frequency of output to the screen.

◆ getSeed()

int MCMC::getSeed ( )

Get the seed used for random generation.

◆ getUpper()

double MCMC::getUpper ( int i )

Get the upper bounds based on an index i.

◆ getUpperFlag()

int MCMC::getUpperFlag ( int i )

◆ getWriteFlag()

int MCMC::getWriteFlag ( )

Get the value of the write flag as an integer.

◆ inDomain()

bool MCMC::inDomain ( Array1D< double > & m )

Check if a point is in the domain.

◆ initChainPropCov()

void MCMC::initChainPropCov ( Array2D< double > & propcov )

Initialize proposal covariance matrix given as a 2d-array For aMCMC, this matrix is used only before adaptivity starts.

Note: Function that initialize the proposal covariance matrix given as a 2d-array

◆ initChainPropCovDiag()

void MCMC::initChainPropCovDiag ( Array1D< double > & sig )

Initialize proposal covariance matrix given its 1d-array diagonal For aMCMC, this matrix is used only before adaptivity starts.

Note: Function that initialize the proposal covariance matrix given as a 1d-array

◆ namesPrepended()

void MCMC::namesPrepended ( )

Set the indicator to confirm that the names of parameters are prepended in the output file.

Note: Function that sets whether the parameter names will be prepended in the output file

◆ newModeFound()

bool MCMC::newModeFound ( )

Check to see if a new mode was found during last call to runChain.

◆ parseBinChain()

void MCMC::parseBinChain	(	string	filename,
		Array1D< chainstate > &	readchain )

An auxiliary function to parse the binary file and produce an array of chain-states.

◆ probOldNew()

virtual double MCMC::probOldNew	(	Array1D< double > &	a,
		Array1D< double > &	b )

inlineprivatevirtual

◆ resetChainFilename()

void MCMC::resetChainFilename ( string filename )

Reset to a new chain file.

◆ resetChainState()

void MCMC::resetChainState ( )

Reset the chain state.

◆ runAcceptFcn()

void MCMC::runAcceptFcn ( )

Function to run the accept function.

◆ runChain() [1/2]

virtual void MCMC::runChain ( int ncalls )

pure virtual

Start an MCMC chain with trivial initial condition.

◆ runChain() [2/2]

virtual void MCMC::runChain	(	int	ncalls,
		Array1D< double > &	chstart )

pure virtual

The actual function that generates MCMC.

◆ runOptim()

void MCMC::runOptim ( Array1D< double > & start )

virtual

The optimization routine.

◆ runRejectFcn()

void MCMC::runRejectFcn ( )

Function to run the reject function.

◆ setAcceptRatio()

void MCMC::setAcceptRatio ( double d )

protected

Set the acceptance ratio.

◆ setChainDim()

void MCMC::setChainDim ( int chdim )

Set the dimensions of the chain given an integer.

Note: Function that sets the number of dimensions for the MCMC object

◆ setCurrentStateAlfa()

void MCMC::setCurrentStateAlfa ( double newAlfa )

Function to set the current state's alfa.

◆ setCurrentStatePost()

void MCMC::setCurrentStatePost ( double newPost )

Function to set the current state's post.

◆ setCurrentStateState()

void MCMC::setCurrentStateState ( Array1D< double > & newState )

Function to set the current state's state.

◆ setCurrentStateStep()

void MCMC::setCurrentStateStep ( int i )

Function to set the step of the current state.

◆ setDefaultDomain()

void MCMC::setDefaultDomain ( )

Set default unbounded domain.

Note: Sets the default domain for the MCMC object

◆ setFcnAccept()

void MCMC::setFcnAccept ( void(* fcnAccept )(void *) )

Set the accept and reject functions.

Note: Function that sets the accept function for the MCMC object

◆ setFcnReject()

void MCMC::setFcnReject ( void(* fcnReject )(void *) )

Note: Function that sets the reject function for the MCMC object

◆ setLastWrite()

void MCMC::setLastWrite ( int i )

protected

Set last write.

◆ setLower()

void MCMC::setLower	(	double	lower,
		int	i )

Set lower bound at the index of i.

Note: Sets the lower limit at index i

◆ setNewMode()

void MCMC::setNewMode ( bool value )

Function to set a new mode value.

◆ setOutputInfo()

void MCMC::setOutputInfo	(	string	outtype,
		string	file,
		int	freq_file,
		int	freq_screen )

Set output specification struct, type('txt' or 'bin'), filename, frequency of outputs to the file and to screen.

Note: Function that sets the output information for the MCMC object

◆ setPostInfo()

void MCMC::setPostInfo ( void * postinfo )

Set the Posterior Info pointer.

◆ setSeed()

void MCMC::setSeed ( int seed )

Set random generation seed.

Note: Function that sets the seed for random generation

◆ setUpper()

void MCMC::setUpper	(	double	upper,
		int	i )

Set upper bound at the index of i.

Note: Sets the upper limit at index i

◆ setWriteFlag()

void MCMC::setWriteFlag ( int I )

Set the write flag function given an integer.

Note: Function that sets the Write Flag of the MCMC object

◆ updateMode()

void MCMC::updateMode ( )

protected

Function to update the Chain mode.

◆ writeChainBin()

void MCMC::writeChainBin ( string filename )

Write the full chain as a binary file.

◆ writeChainTxt()

void MCMC::writeChainTxt ( string filename )

Write the full chain as a text.

◆ writeFullChainTxt()

void MCMC::writeFullChainTxt	(	string	filename,
		Array1D< chainstate >	fullchain )

Write an array of chain-states to a file.

Member Data Documentation

◆ accRatio_

double MCMC::accRatio_ = -1.0

private

◆ chainDim_

int MCMC::chainDim_

private

◆ chaindimInit_

bool MCMC::chaindimInit_ = false

private

◆ chcov

Array2D<double> MCMC::chcov

private

◆ currState_

chainstate MCMC::currState_

private

◆ fcnAccept_

void(* MCMC::fcnAccept_) (void *) = NULL

private

◆ fcnAcceptFlag_

bool MCMC::fcnAcceptFlag_ = false

private

◆ fcnReject_

void(* MCMC::fcnReject_) (void *) = NULL

private

◆ fcnRejectFlag_

bool MCMC::fcnRejectFlag_ = false

private

◆ FLAG

int MCMC::FLAG

private

◆ fullChain_

Array1D<chainstate> MCMC::fullChain_

private

◆ L_

LogPosteriorBase* MCMC::L_

private

◆ lastwrite_

int MCMC::lastwrite_

private

◆ logPosterior_

double(* MCMC::logPosterior_) (Array1D< double > &, void *) = NULL

private

◆ Lower_

Array1D<double> MCMC::Lower_

private

Lower bounds.

◆ lower_flag_

Array1D<int> MCMC::lower_flag_

private

Lower bound existence flags.

◆ methodInit_

bool MCMC::methodInit_ = false

private

◆ modeState_

chainstate MCMC::modeState_

private

◆ namesPrepend

bool MCMC::namesPrepend = false

private

◆ newMode_

bool MCMC::newMode_ = false

private

◆ outputinfo_

struct MCMC::outputInfo MCMC::outputinfo_

private

◆ outputInit_

bool MCMC::outputInit_ = false

private

◆ postInfo_

void* MCMC::postInfo_ = NULL

private

◆ propcovInit_

bool MCMC::propcovInit_ = false

private

◆ RandomState

dsfmt_t MCMC::RandomState

protected

◆ seed_

int MCMC::seed_

private

◆ Upper_

Array1D<double> MCMC::Upper_

private

Upper bounds.

◆ upper_flag_

Array1D<int> MCMC::upper_flag_

private

Upper bound existence flags.

◆ WRITE_FLAG

int MCMC::WRITE_FLAG

private

The documentation for this class was generated from the following files:

Classes

Public Member Functions

Protected Member Functions

Protected Attributes

Private Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ MCMC() [1/3]

◆ MCMC() [2/3]

◆ MCMC() [3/3]

Member Function Documentation

◆ addCurrentState()

◆ appendMAP()

◆ evalLogPosterior()

◆ getAcceptRatio() [1/2]

◆ getAcceptRatio() [2/2]

◆ GetChainDim()

◆ getChainPropCov()

◆ getCurrentStatePost()

◆ getCurrentStateState()

◆ getDimInit()

◆ getFcnAccept()

◆ getFcnAcceptInit()

◆ getFcnReject()

◆ getFcnRejectInit()

◆ getFileFreq()

◆ getFilename()

◆ getFullChain()

◆ getFullChainSize()

◆ getLastWrite()

◆ getLower()

◆ getLowerFlag()

◆ getMode()

◆ getModeStatePost()

◆ getModeStateState()

◆ getNamesPrepended()

◆ getNSubSteps()

◆ getOutputInit()

◆ getOutputType()

◆ getPostInfo()

◆ getPropCovInit()

◆ getSamples() [1/2]

◆ getSamples() [2/2]

◆ getScreenFreq()

◆ getSeed()

◆ getUpper()

◆ getUpperFlag()

◆ getWriteFlag()

◆ inDomain()

◆ initChainPropCov()

◆ initChainPropCovDiag()

◆ namesPrepended()

◆ newModeFound()

◆ parseBinChain()

◆ probOldNew()

◆ resetChainFilename()

◆ resetChainState()

◆ runAcceptFcn()

◆ runChain() [1/2]

◆ runChain() [2/2]

◆ runOptim()

◆ runRejectFcn()

◆ setAcceptRatio()

◆ setChainDim()

◆ setCurrentStateAlfa()

◆ setCurrentStatePost()

◆ setCurrentStateState()

◆ setCurrentStateStep()

◆ setDefaultDomain()

◆ setFcnAccept()

◆ setFcnReject()

◆ setLastWrite()

◆ setLower()

◆ setNewMode()

◆ setOutputInfo()

◆ setPostInfo()

◆ setSeed()

◆ setUpper()

◆ setWriteFlag()