vsmc::NormalMVProposal< RealType, Dim > Class Template Reference

Multivariate Normal random walk proposal. More...

#include <vsmc/rng/internal/common.hpp>

Public Types
using	result_type = RealType

Public Member Functions
	NormalMVProposal (const result_type *chol=nullptr, const result_type *a=nullptr, const result_type *b=nullptr)
	Only usable when Dim != Dynamic More...
	NormalMVProposal (std::size_t dim, const result_type *chol=nullptr, const result_type *a=nullptr, const result_type *b=nullptr)
const result_type *	a () const
const result_type *	b () const
std::size_t	dim () const
template<typename RNGType >
result_type	operator() (RNGType &rng, std::size_t, const result_type *x, result_type *y)

Detailed Description

template<typename RealType, std::size_t Dim>
class vsmc::NormalMVProposal< RealType, Dim >

Multivariate Normal random walk proposal.

Definition at line 1062 of file rng/internal/common.hpp.

Member Typedef Documentation

template<typename RealType , std::size_t Dim>

using vsmc::NormalMVProposal< RealType, Dim >::result_type = RealType

Definition at line 472 of file random_walk.hpp.

Constructor & Destructor Documentation

template<typename RealType , std::size_t Dim>

vsmc::NormalMVProposal< RealType, Dim >::NormalMVProposal ( const result_type *  chol = nullptr, const result_type *  a = nullptr, const result_type *  b = nullptr  )

inlineexplicit

Only usable when Dim != Dynamic

Parameters

chol	The lower triangular elements of the Cholesky decomposition of the covaraince matrix, packed row by row. If it is a nullpointer, then the covariance is the identicy matrix \(I\)
a	The lower bound of the support of the target distribuiton. It is assumed that the support is \(\prod_{p=1}^d E_p \subset \mathbb{R}^d\) where \(E_p \subset \mathbb{R}\).
b	The upper bound of the support of the target distribution.

If the geometry of the support is more complex than above, then one may find a superset of the support that takes the required form, and reject proposals that lay outside the support manually.

Definition at line 488 of file random_walk.hpp.

template<typename RealType , std::size_t Dim>

vsmc::NormalMVProposal< RealType, Dim >::NormalMVProposal ( std::size_t  dim, const result_type *  chol = nullptr, const result_type *  a = nullptr, const result_type *  b = nullptr  )

inlineexplicit

Definition at line 497 of file random_walk.hpp.

Member Function Documentation

template<typename RealType , std::size_t Dim>

const result_type* vsmc::NormalMVProposal< RealType, Dim >::a ( ) const

inline

Definition at line 508 of file random_walk.hpp.

template<typename RealType , std::size_t Dim>

const result_type* vsmc::NormalMVProposal< RealType, Dim >::b ( ) const

inline

Definition at line 509 of file random_walk.hpp.

template<typename RealType , std::size_t Dim>

std::size_t vsmc::NormalMVProposal< RealType, Dim >::dim ( ) const

inline

Definition at line 507 of file random_walk.hpp.

template<typename RealType , std::size_t Dim>

template<typename RNGType >

result_type vsmc::NormalMVProposal< RealType, Dim >::operator() ( RNGType &  rng, std::size_t  , const result_type *  x, result_type *  y  )

inline

Definition at line 512 of file random_walk.hpp.