CrankNicolsonProposal.h

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#ifndef CRANKNICOLSONPROPOSAL_H_
#define CRANKNICOLSONPROPOSAL_H_
 
#include "MUQ/Modeling/Distributions/Gaussian.h"
#include "MUQ/Modeling/ModPiece.h"
 
#include "MUQ/SamplingAlgorithms/MCMCProposal.h"
 
namespace muq {
  namespace SamplingAlgorithms {
 
    class CrankNicolsonProposal : public MCMCProposal {
    public:
 
      CrankNicolsonProposal(boost::property_tree::ptree       const& pt,
                            std::shared_ptr<AbstractSamplingProblem> prob,
                            std::shared_ptr<muq::Modeling::GaussianBase> prior);
 
      CrankNicolsonProposal(boost::property_tree::ptree       const& pt,
                            std::shared_ptr<AbstractSamplingProblem> prob);
 
      virtual ~CrankNicolsonProposal() = default;
 
    protected:
 
      double beta;
 
      // When the prior distribution has inputs, we need to save information to evaluate them
      std::shared_ptr<muq::Modeling::ModPiece> priorMeanModel;
      std::vector<int> priorMeanInds;
 
      std::shared_ptr<muq::Modeling::ModPiece> priorCovModel;
      std::vector<int> priorCovInds;
      bool priorUsesCov;
 
      std::vector<Eigen::VectorXd>GetPriorInputs(std::vector<Eigen::VectorXd> const& currState);
 
      //const Eigen::VectorXd priorMu;
 
      //std::shared_ptr<muq::Modeling::Gaussian> propPart;
 
      // Sometimes we have to keep track of the prior distribution so we can update the proposal mean and covariance
      std::shared_ptr<muq::Modeling::GaussianBase> priorDist;
 
      virtual std::shared_ptr<SamplingState> Sample(std::shared_ptr<SamplingState> const& currentState) override;
 
      virtual double LogDensity(std::shared_ptr<SamplingState> const& currState,
                                std::shared_ptr<SamplingState> const& propState) override;
 
      void ExtractPrior(std::shared_ptr<AbstractSamplingProblem> const& prob, std::string nodeName);
    };
 
  } // namespace SamplingAlgoirthms
} // namespace muq
 
#endif