Class for sampling problems based on the product of a prior and likelihood, possibly with a tempering applied to the likelihood. More...

#include <InferenceProblem.h>

Inheritance diagram for muq::SamplingAlgorithms::InferenceProblem:

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Detailed Description

Class for sampling problems based on the product of a prior and likelihood, possibly with a tempering applied to the likelihood.

This class implements posterior distributions \(\pi(x_1,\ldots,x_N|y)\) over \(N\) vectors \(x_1,\ldots,x_N\). It is defined in terms of a likelihood, \(\pi(y | x_1,\ldots,x_N)\), prior density \(\pi(x)\) and optionally, a parameter \(\beta\) called the "inverse temperature". Together, these quantities define \(\pi(x|y)\) up to a normalizing constant:

\[ \log\pi(x | y) \propto \beta\log\pi(y|x) +\log\pi(x). \]

The inverse temperature \(\beta\) is included to support implementations of parallel tempering algorithms.

Definition at line 25 of file InferenceProblem.h.

Public Member Functions
	InferenceProblem (std::shared_ptr< muq::Modeling::ModPiece > const &likelyIn, std::shared_ptr< muq::Modeling::ModPiece > const &priorIn, double inverseTempIn=1.0)

	InferenceProblem (std::shared_ptr< muq::Modeling::ModPiece > const &likelyIn, std::shared_ptr< muq::Modeling::ModPiece > const &priorIn, std::shared_ptr< muq::Modeling::ModPiece > const &qoiIn, double inverseTempIn=1.0)

virtual	~InferenceProblem ()=default

virtual double	LogDensity (std::shared_ptr< SamplingState > const &state) override

virtual Eigen::VectorXd	GradLogDensity (std::shared_ptr< SamplingState > const &state, unsigned const blockWrt) override

virtual std::shared_ptr< SamplingState >	QOI () override

std::shared_ptr< muq::Modeling::ModPiece > const &	Likelihood () const

std::shared_ptr< muq::Modeling::ModPiece > const &	Prior () const

void	SetInverseTemp (double newTemp)

double	GetInverseTemp () const

virtual std::shared_ptr< AbstractSamplingProblem >	Clone () const override

Public Member Functions inherited from muq::SamplingAlgorithms::AbstractSamplingProblem
	AbstractSamplingProblem (Eigen::VectorXi const &blockSizesIn, Eigen::VectorXi const &blockSizesQOIIn)

	AbstractSamplingProblem (Eigen::VectorXi const &blockSizesIn)

virtual	~AbstractSamplingProblem ()=default

virtual void	AddOptions (boost::property_tree::ptree &pt) const

Additional Inherited Members
Public Attributes inherited from muq::SamplingAlgorithms::AbstractSamplingProblem
const int	numBlocks

const Eigen::VectorXi	blockSizes

const int	numBlocksQOI

const Eigen::VectorXi	blockSizesQOI

Constructor & Destructor Documentation

◆ InferenceProblem() [1/2]

InferenceProblem::InferenceProblem	(	std::shared_ptr< muq::Modeling::ModPiece > const &	likelyIn,
		std::shared_ptr< muq::Modeling::ModPiece > const &	priorIn,
		double	inverseTempIn = `1.0`
	)

Parameters

[in]	likelyIn	A ModPiece that evaluates the log-likelihood function, which will be multiplied by the inverse temperature
[in]	priorIn	A ModPiece that evaluates the log-prior density. The number and sizes of the prior inputs must match the likelihood.
[in]	inverseTempIn	The inverse temperature \(\beta\) that scales the likelihood function.

Definition at line 7 of file InferenceProblem.cpp.

◆ InferenceProblem() [2/2]

InferenceProblem::InferenceProblem	(	std::shared_ptr< muq::Modeling::ModPiece > const &	likelyIn,
		std::shared_ptr< muq::Modeling::ModPiece > const &	priorIn,
		std::shared_ptr< muq::Modeling::ModPiece > const &	qoiIn,
		double	inverseTempIn = `1.0`
	)

Parameters

[in]	likelyIn	A ModPiece that evaluates the log-likelihood function, which will be multiplied by the inverse temperature
[in]	priorIn	A ModPiece that evaluates the log-prior density. The number and sizes of the prior inputs must match the likelihood.
[in]	qoi	Quantity of interest associated with model
[in]	inverseTempIn	The inverse temperature \(\beta\) that scales the likelihood function.

Definition at line 14 of file InferenceProblem.cpp.

◆ ~InferenceProblem()

virtual muq::SamplingAlgorithms::InferenceProblem::~InferenceProblem ( )

virtualdefault

Member Function Documentation

◆ Clone()

std::shared_ptr< AbstractSamplingProblem > InferenceProblem::Clone ( ) const

overridevirtual

Reimplemented from muq::SamplingAlgorithms::AbstractSamplingProblem.

Definition at line 56 of file InferenceProblem.cpp.

References inverseTemp, likely, prior, and qoi.

◆ GetInverseTemp()

double muq::SamplingAlgorithms::InferenceProblem::GetInverseTemp ( ) const

inline

Get the inverse temperature of this problem.

Definition at line 65 of file InferenceProblem.h.

References inverseTemp.

◆ GradLogDensity()

Eigen::VectorXd InferenceProblem::GradLogDensity	(	std::shared_ptr< SamplingState > const &	state,
		unsigned const	blockWrt
	)

overridevirtual

Default finite difference gradient implementation.

Reimplemented from muq::SamplingAlgorithms::AbstractSamplingProblem.

Definition at line 46 of file InferenceProblem.cpp.

References inverseTemp, likely, and prior.

◆ Likelihood()

std::shared_ptr<muq::Modeling::ModPiece> const& muq::SamplingAlgorithms::InferenceProblem::Likelihood ( ) const

inline

Definition at line 58 of file InferenceProblem.h.

References likely.

◆ LogDensity()

double InferenceProblem::LogDensity ( std::shared_ptr< SamplingState > const & state )

overridevirtual

Implements muq::SamplingAlgorithms::AbstractSamplingProblem.

Definition at line 24 of file InferenceProblem.cpp.

References inverseTemp, lastState, likely, and prior.

◆ Prior()

std::shared_ptr<muq::Modeling::ModPiece> const& muq::SamplingAlgorithms::InferenceProblem::Prior ( ) const

inline

Definition at line 59 of file InferenceProblem.h.

References prior.

◆ QOI()

std::shared_ptr< SamplingState > InferenceProblem::QOI ( )

overridevirtual

Reimplemented from muq::SamplingAlgorithms::AbstractSamplingProblem.

Definition at line 38 of file InferenceProblem.cpp.

References lastState, and qoi.

◆ SetInverseTemp()

void muq::SamplingAlgorithms::InferenceProblem::SetInverseTemp ( double newTemp )

inline

Set the inverse temperature of this problem.

Definition at line 62 of file InferenceProblem.h.

References inverseTemp.

Member Data Documentation

◆ inverseTemp

double muq::SamplingAlgorithms::InferenceProblem::inverseTemp

protected

Definition at line 79 of file InferenceProblem.h.

Referenced by Clone(), GetInverseTemp(), GradLogDensity(), LogDensity(), and SetInverseTemp().

◆ lastState

std::shared_ptr<SamplingState> muq::SamplingAlgorithms::InferenceProblem::lastState

private

Definition at line 83 of file InferenceProblem.h.

Referenced by LogDensity(), and QOI().

◆ likely

std::shared_ptr<muq::Modeling::ModPiece> muq::SamplingAlgorithms::InferenceProblem::likely

protected

The log-likelihood function.

Definition at line 72 of file InferenceProblem.h.

Referenced by Clone(), GradLogDensity(), Likelihood(), and LogDensity().

◆ prior

std::shared_ptr<muq::Modeling::ModPiece> muq::SamplingAlgorithms::InferenceProblem::prior

protected

The prior log-density.

Definition at line 75 of file InferenceProblem.h.

Referenced by Clone(), GradLogDensity(), LogDensity(), and Prior().

◆ qoi

std::shared_ptr<muq::Modeling::ModPiece> muq::SamplingAlgorithms::InferenceProblem::qoi

protected

Definition at line 77 of file InferenceProblem.h.

Referenced by Clone(), and QOI().

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

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

Detailed Description

Public Member Functions

Additional Inherited Members

Constructor & Destructor Documentation

◆ InferenceProblem() [1/2]

◆ InferenceProblem() [2/2]

◆ ~InferenceProblem()

Member Function Documentation

◆ Clone()

◆ GetInverseTemp()

◆ GradLogDensity()

◆ Likelihood()

◆ LogDensity()

◆ Prior()

◆ QOI()

◆ SetInverseTemp()

Member Data Documentation

◆ inverseTemp

◆ lastState

◆ likely

◆ prior

◆ qoi