Implementation preconditioned Langevin proposal used in the MALA algorithm. More...

#include <MALAProposal.h>

Inheritance diagram for muq::SamplingAlgorithms::MALAProposal:

Detailed Description

Implementation preconditioned Langevin proposal used in the MALA algorithm.

Defines a proposal of the form

\[ x^{\prime} = x^{(k)} + \tau \Sigma \nabla \log \pi(x^{(k)}) + \sqrt(2\tau) \Sigma^{1/2} \tilde{z}, \]

where \(x^{(k)}\) is the current position of the chain, \(\Sigma\) is the proposal covariance, \(\tau\) is a stepsize parameter, \(z\) is a standard normal random variable, and \(x^{\prime}\) is the proposed move. Note that this proposal can also be defined in terms of a Gaussian random variable \(z=\Sigma^{1/2} \tilde{z}\), which has mean zero and covariance \(\Sigma\). The Gaussian distribution for \(z\) can be specified in the constructor of this proposal. If not specified, a default identity covariance is employed, \(\Sigma=I\).

Configuration Parameters:

Parameter Key	Type	Default Value	Description
"StepSize"	Double	-	The step size parameter \(\tau\).

Definition at line 34 of file MALAProposal.h.

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

	MALAProposal (boost::property_tree::ptree pt, std::shared_ptr< AbstractSamplingProblem > const &probIn, std::shared_ptr< muq::Modeling::GaussianBase > zDistIn)

virtual	~MALAProposal ()=default

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

virtual	~MCMCProposal ()=default

virtual void	Adapt (unsigned int const t, std::vector< std::shared_ptr< SamplingState >> const &state)
	Adapt the proposal after each step. More...

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

virtual void	SetBlockInd (int newBlockInd)

virtual int	GetBlockInd () const

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

typedef std::map< std::string, MCMCProposalConstructor >	MCMCProposalMap

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

static std::shared_ptr< MCMCProposalMap >	GetMCMCProposalMap ()

Constructor & Destructor Documentation

◆ MALAProposal() [1/2]

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

◆ MALAProposal() [2/2]

muq::SamplingAlgorithms::MALAProposal::MALAProposal	(	boost::property_tree::ptree	pt,
		std::shared_ptr< AbstractSamplingProblem > const &	probIn,
		std::shared_ptr< muq::Modeling::GaussianBase >	zDistIn
	)

◆ ~MALAProposal()

virtual muq::SamplingAlgorithms::MALAProposal::~MALAProposal ( )

virtualdefault

Member Function Documentation

◆ LogDensity()

double MALAProposal::LogDensity	(	std::shared_ptr< SamplingState > const &	currState,
		std::shared_ptr< SamplingState > const &	propState
	)

overrideprotectedvirtual

Implements muq::SamplingAlgorithms::MCMCProposal.

Definition at line 77 of file MALAProposal.cpp.

References muq::SamplingAlgorithms::MCMCProposal::blockInd, nlohmann::detail::dtoa_impl::e, muq::SamplingAlgorithms::MCMCProposal::prob, stepSize, and zDist.

◆ Sample()

std::shared_ptr< SamplingState > MALAProposal::Sample ( std::shared_ptr< SamplingState > const & currentState )

overrideprotectedvirtual

Implements muq::SamplingAlgorithms::MCMCProposal.

Definition at line 42 of file MALAProposal.cpp.

References muq::SamplingAlgorithms::MCMCProposal::blockInd, muq::SamplingAlgorithms::MCMCProposal::prob, stepSize, and zDist.

Member Data Documentation

◆ stepSize

double muq::SamplingAlgorithms::MALAProposal::stepSize

protected

Definition at line 48 of file MALAProposal.h.

Referenced by LogDensity(), and Sample().

◆ zDist

std::shared_ptr<muq::Modeling::GaussianBase> muq::SamplingAlgorithms::MALAProposal::zDist