A kernel for the generalized Metropolis-Hastings kernel. More...

#include <GMHKernel.h>

Inheritance diagram for muq::SamplingAlgorithms::GMHKernel:

Detailed Description

A kernel for the generalized Metropolis-Hastings kernel.

Reference: "A general construction for parallelizing Metropolis-Hastings algorithms" (Calderhead, 2014)

Definition at line 19 of file GMHKernel.h.

Public Member Functions
	GMHKernel (boost::property_tree::ptree const &pt, std::shared_ptr< AbstractSamplingProblem > problem)

	GMHKernel (boost::property_tree::ptree const &pt, std::shared_ptr< AbstractSamplingProblem > problem, std::shared_ptr< MCMCProposal > proposalIn)

virtual	~GMHKernel ()

virtual void	PreStep (unsigned int const t, std::shared_ptr< SamplingState > state) override

virtual std::vector< std::shared_ptr< SamplingState > >	Step (unsigned int const t, std::shared_ptr< SamplingState > state) override

std::vector< std::shared_ptr< SamplingState > >	SampleStationary () const
	Sample the stationary distribution. More...

Eigen::VectorXd	StationaryAcceptance () const
	Get the cumulative stationary acceptance probability. More...

std::shared_ptr< parcer::Communicator >	GetCommunicator () const

Public Member Functions inherited from muq::SamplingAlgorithms::MHKernel
	MHKernel (boost::property_tree::ptree const &pt, std::shared_ptr< AbstractSamplingProblem > problem)

	MHKernel (boost::property_tree::ptree const &pt, std::shared_ptr< AbstractSamplingProblem > problem, std::shared_ptr< MCMCProposal > proposalIn)

virtual	~MHKernel ()=default

virtual std::shared_ptr< MCMCProposal >	Proposal ()

virtual void	PostStep (unsigned int const t, std::vector< std::shared_ptr< SamplingState >> const &state) override
	Allow the kernel to adapt given a new state. More...

virtual void	PrintStatus (std::string prefix) const override

virtual double	AcceptanceRate () const

virtual void	SetBlockInd (int newBlockInd) override

Public Member Functions inherited from muq::SamplingAlgorithms::TransitionKernel
	TransitionKernel (boost::property_tree::ptree const &pt, std::shared_ptr< AbstractSamplingProblem > problem)

virtual	~TransitionKernel ()=default

virtual void	SetCommunicator (std::shared_ptr< parcer::Communicator > newcomm)

virtual void	PrintStatus () const

virtual int	GetBlockInd () const

virtual std::shared_ptr< AbstractSamplingProblem > const &	Problem () const

Additional Inherited Members
Public Types inherited from muq::SamplingAlgorithms::TransitionKernel
typedef boost::function< std::shared_ptr< TransitionKernel >boost::property_tree::ptree, std::shared_ptr< AbstractSamplingProblem >)>	TransitionKernelConstructor

typedef std::map< std::string, TransitionKernelConstructor >	TransitionKernelMap

Static Public Member Functions inherited from muq::SamplingAlgorithms::TransitionKernel
static std::shared_ptr< TransitionKernel >	Construct (boost::property_tree::ptree const &pt, std::shared_ptr< AbstractSamplingProblem > problem)
	Static constructor for the transition kernel. More...

static std::shared_ptr< TransitionKernelMap >	GetTransitionKernelMap ()

Constructor & Destructor Documentation

◆ GMHKernel() [1/2]

muq::SamplingAlgorithms::GMHKernel::GMHKernel	(	boost::property_tree::ptree const &	pt,
		std::shared_ptr< AbstractSamplingProblem >	problem
	)

Parameters

[in]	pt	Options for this kenel and the standard Metropolis-Hastings kernel
[in]	problem	The problem we want to sample

◆ GMHKernel() [2/2]

muq::SamplingAlgorithms::GMHKernel::GMHKernel	(	boost::property_tree::ptree const &	pt,
		std::shared_ptr< AbstractSamplingProblem >	problem,
		std::shared_ptr< MCMCProposal >	proposalIn
	)

Parameters

[in]	pt	Options for this kenel and the standard Metropolis-Hastings kernel
[in]	problem	The problem we want to sample
[in]	proposalIn	The proposal for the MCMC chain

◆ ~GMHKernel()

GMHKernel::~GMHKernel ( )

virtual

Definition at line 56 of file GMHKernel.cpp.

Member Function Documentation

◆ AcceptanceDensity()

void GMHKernel::AcceptanceDensity ( Eigen::VectorXd & R )

private

Compute the stationary transition density.

Parameters

[in] R The log-target

Definition at line 140 of file GMHKernel.cpp.

References ComputeStationaryAcceptance(), nlohmann::detail::dtoa_impl::k, Np1, muq::SamplingAlgorithms::MHKernel::proposal, and proposedStates.

Referenced by SerialProposal().

◆ AcceptanceMatrix()

Eigen::MatrixXd GMHKernel::AcceptanceMatrix ( Eigen::VectorXd const & R ) const

private

Definition at line 154 of file GMHKernel.cpp.

References Np1.

Referenced by ComputeStationaryAcceptance().

◆ ComputeStationaryAcceptance()

void GMHKernel::ComputeStationaryAcceptance ( Eigen::VectorXd const & R )

private

Compute the cumulative acceptance density.

Parameters

[in] R The log-target plus the log-proposals

Definition at line 168 of file GMHKernel.cpp.

References AcceptanceMatrix(), Np1, and stationaryAcceptance.

Referenced by AcceptanceDensity().

◆ GetCommunicator()

std::shared_ptr< parcer::Communicator > GMHKernel::GetCommunicator ( ) const

Definition at line 228 of file GMHKernel.cpp.

References muq::SamplingAlgorithms::TransitionKernel::comm.

◆ ParallelProposal()

void GMHKernel::ParallelProposal	(	unsigned int const	t,
		std::shared_ptr< SamplingState >	state
	)

private

Propose \(N\) points in parallel and evaluate the log target.

Parameters

[in]	t	The current step in the MCMC chain
[in]	state	The current point

Definition at line 84 of file GMHKernel.cpp.

References muq::SamplingAlgorithms::TransitionKernel::comm, and SerialProposal().

Referenced by PreStep().

◆ PreStep()

void GMHKernel::PreStep	(	unsigned int const	t,
		std::shared_ptr< SamplingState >	state
	)

overridevirtual

Propose GMHKernel::N points and compute the cumulative distribution of the stationary distribution for the acceptance probability (GMHKernel::proposedStates and GMHKernel::stationaryAcceptance, respectively)

Parameters

[in]	t	The current step in the MCMC chain
[in]	state	The current MCMC state

Reimplemented from muq::SamplingAlgorithms::TransitionKernel.

Definition at line 183 of file GMHKernel.cpp.

References muq::SamplingAlgorithms::TransitionKernel::comm, ParallelProposal(), and SerialProposal().

◆ SampleStationary()

std::vector< std::shared_ptr< SamplingState > > GMHKernel::SampleStationary ( ) const

Sample the stationary distribution.

Returns: The new points

Definition at line 197 of file GMHKernel.cpp.

References M, proposedStates, and stationaryAcceptance.

Referenced by Step().

◆ SerialProposal()

void GMHKernel::SerialProposal	(	unsigned int const	t,
		std::shared_ptr< SamplingState >	state
	)

private

Propose \(N\) points in serial and evaluate the log target.

Parameters

[in]	t	The current step in the MCMC chain
[in]	state	The current point

Definition at line 58 of file GMHKernel.cpp.

References AcceptanceDensity(), Np1, muq::SamplingAlgorithms::TransitionKernel::problem, muq::SamplingAlgorithms::MHKernel::proposal, and proposedStates.

Referenced by ParallelProposal(), and PreStep().

◆ StationaryAcceptance()

Eigen::VectorXd GMHKernel::StationaryAcceptance ( ) const

Get the cumulative stationary acceptance probability.

Must be called after GMHKernel::PreStep.

Returns: The stationary acceptance probability

Definition at line 220 of file GMHKernel.cpp.

References Np1, and stationaryAcceptance.

◆ Step()

std::vector< std::shared_ptr< SamplingState > > GMHKernel::Step	(	unsigned int const	t,
		std::shared_ptr< SamplingState >	state
	)

overridevirtual

Sample GMHKernel::M states from the proposed states GMHKernel::proposedStates.

Parameters

[in]	t	The current step in the MCMC chain
[in]	state	The current MCMC state

Returns: The accepted states

Reimplemented from muq::SamplingAlgorithms::MHKernel.

Definition at line 210 of file GMHKernel.cpp.

References muq::SamplingAlgorithms::TransitionKernel::comm, M, and SampleStationary().

Member Data Documentation

◆ M

const unsigned int muq::SamplingAlgorithms::GMHKernel::M

private

Number of accepted points (number of points added to the chain)

Definition at line 112 of file GMHKernel.h.

Referenced by SampleStationary(), and Step().

◆ N

const unsigned int muq::SamplingAlgorithms::GMHKernel::N

private

Number of proposals.

Definition at line 103 of file GMHKernel.h.

◆ Np1

const unsigned int muq::SamplingAlgorithms::GMHKernel::Np1

private

Number of proposals plus one.

Defined so we don't aways have to compute \(N+1\).

Definition at line 109 of file GMHKernel.h.

Referenced by AcceptanceDensity(), AcceptanceMatrix(), ComputeStationaryAcceptance(), SerialProposal(), and StationaryAcceptance().

◆ proposedStates

std::vector<std::shared_ptr<SamplingState> > muq::SamplingAlgorithms::GMHKernel::proposedStates

private

Proposed states.

Definition at line 118 of file GMHKernel.h.

Referenced by AcceptanceDensity(), SampleStationary(), and SerialProposal().

◆ stationaryAcceptance

Eigen::VectorXd muq::SamplingAlgorithms::GMHKernel::stationaryAcceptance

private

The cumulative stationary accepatnce probability.

Definition at line 115 of file GMHKernel.h.

Referenced by ComputeStationaryAcceptance(), SampleStationary(), and StationaryAcceptance().

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

doxygen_prep/MUQ/SamplingAlgorithms/GMHKernel.h
doxygen_prep/modules/SamplingAlgorithms/src/GMHKernel.cpp

Detailed Description

Public Member Functions

Additional Inherited Members

Constructor & Destructor Documentation

◆ GMHKernel() [1/2]

◆ GMHKernel() [2/2]

◆ ~GMHKernel()

Member Function Documentation

◆ AcceptanceDensity()

◆ AcceptanceMatrix()

◆ ComputeStationaryAcceptance()

◆ GetCommunicator()

◆ ParallelProposal()

◆ PreStep()

◆ SampleStationary()

◆ SerialProposal()

◆ StationaryAcceptance()

◆ Step()

Member Data Documentation

◆ M

◆ N

◆ Np1

◆ proposedStates

◆ stationaryAcceptance