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vSMC
vSMC: Scalable Monte Carlo
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Monitor for Monte Carlo integration. More...
#include <vsmc/core/monitor.hpp>
Public Types | |
| typedef cxx11::function< void(std::size_t, std::size_t, const Particle< T > &, double *)> | eval_type |
| typedef T | value_type |
Public Member Functions | |
| Monitor (std::size_t dim, const eval_type &eval, bool record_only=false) | |
| Construct a Monitor with an evaluation object. More... | |
| void | clear () |
| Clear all records of the index and integrations. More... | |
| std::size_t | dim () const |
| The dimension of the Monitor. More... | |
| bool | empty () const |
| Whether the evaluation object is valid. More... | |
| void | eval (std::size_t iter, const Particle< T > &particle) |
| Perform the evaluation for a given iteration and a Particle<T> object. More... | |
| std::size_t | index (std::size_t iter) const |
| Get the iteration index of the sampler of a given Monitor iteration. More... | |
| const std::size_t * | index_data () const |
| Read only access to the raw data of the index vector. More... | |
| std::size_t | iter_size () const |
| The number of iterations has been recorded. More... | |
| std::string & | name (std::size_t id) |
| Read and write access to the names of variables. More... | |
| const std::string & | name (std::size_t id) const |
| Read only access to the names of variables. More... | |
| template<typename OutputIter > | |
| void | read_index (OutputIter first) const |
| Read the index history through an output iterator. More... | |
| template<typename OutputIter > | |
| void | read_record (std::size_t id, OutputIter first) const |
| Read the record history for a given variable through an output iterator. More... | |
| template<typename OutputIterIter > | |
| void | read_record_matrix (OutputIterIter first) const |
| Read the record history of all variables through an array of output iterators. More... | |
| template<MatrixOrder Order, typename OutputIter > | |
| void | read_record_matrix (OutputIter first) const |
| Read the record history of all variables through an output iterator. More... | |
| double | record (std::size_t id) const |
| Get the latest Monte Carlo integration record of a given variable. More... | |
| double | record (std::size_t id, std::size_t iter) const |
| Get the Monte Carlo integration record of a given variable and the Monitor iteration. More... | |
| const double * | record_data () const |
| Read only access to the raw data of records (a row major matrix) More... | |
| bool | recording () const |
| Whether the Monitor is actively recording results. More... | |
| void | reserve (std::size_t num) |
| Reserve space for a specified number of iterations. More... | |
| void | set_eval (const eval_type &new_eval) |
| Set a new evaluation object of type eval_type. More... | |
| void | turn_off () |
| Turn off the recording. More... | |
| void | turn_on () |
| Turn on the recording. More... | |
Monitor for Monte Carlo integration.
Definition at line 56 of file monitor.hpp.
| typedef cxx11::function< void (std::size_t, std::size_t, const Particle<T> &, double *)> vsmc::Monitor< T >::eval_type |
Definition at line 63 of file monitor.hpp.
| typedef T vsmc::Monitor< T >::value_type |
Definition at line 60 of file monitor.hpp.
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Construct a Monitor with an evaluation object.
| dim | The dimension of the Monitor, i.e., the number of variables |
| eval | The evaluation object of type Monitor::eval_type |
| record_only | The monitor only records results instead of calculating them itself |
The evaluation object has the signature
where the first three arguments are passed in by the Sampler at the end of each iteration. The evaluation occurs after the possible MCMC moves. The output parameter result shall contain the results of the evaluation.
If record_only is true, then the monitor only records the values stored in result. Otherwise, the behavior is explained below
The array result is of length particle.size() * dim, and it represents a row major matrix of dimension particle.size() by dim, say \(R\). Let \(W\) be the vector of the normalized weights. The Monitor will be respoinsible to compute the importance sampling estimate \(r = R^TW\) and record it. For example, say the purpose of the Monitor is to record the importance sampling estimates of \(E[h(X)]\) where \(h(X) = (h_1(X),\dots,h_d(X))\). Then result shall contain the evaluation of \(h(X_i)\) for each \(i\) from 0 to particle.size() - 1 in the order \((h_1(X_0), \dots, h_d(X_0), h_1(X_1), \dots, h_d(X_1), \dots)\).
After each evaluation, the iteration number iter and the imporatance sampling estimates are recorded and can be retrived by index() and record().
Definition at line 98 of file monitor.hpp.
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Clear all records of the index and integrations.
Definition at line 288 of file monitor.hpp.
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The dimension of the Monitor.
Definition at line 104 of file monitor.hpp.
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Whether the evaluation object is valid.
Definition at line 123 of file monitor.hpp.
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Perform the evaluation for a given iteration and a Particle<T> object.
This function is called by a Sampler at the end of each iteration. It does nothing if recording() returns false. Otherwise it use the user defined evaluation object to compute results. When a Monitor is constructed, recording() always returns true. It can be turned off by turn_off() and turned on later by turn_on().
Definition at line 261 of file monitor.hpp.
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Get the iteration index of the sampler of a given Monitor iteration.
For example, if a Monitor is only added to the sampler at the sampler's iteration siter. Then index(0) will be siter and so on. If the Monitor is added before the sampler's initialization and continued to be evaluated during the iterations without calling turnoff(), then iter(iter) shall just be iter.
Definition at line 156 of file monitor.hpp.
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Read only access to the raw data of the index vector.
Definition at line 196 of file monitor.hpp.
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The number of iterations has been recorded.
This is not necessarily the same as Sampler<T>::iter_size. For example, a Monitor can be added only after a certain time point of the sampler's iterations. Also the Monitor can be turned off for a period during the iterations.
Definition at line 113 of file monitor.hpp.
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Read and write access to the names of variables.
By default, each variable of a Monitor is unnamed and the returned string is empty. However, the user can selectively set the names of each variable. This effect how Sampler will print the headers of the summary table.
Definition at line 132 of file monitor.hpp.
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Read only access to the names of variables.
Definition at line 140 of file monitor.hpp.
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Read the index history through an output iterator.
Definition at line 192 of file monitor.hpp.
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Read the record history for a given variable through an output iterator.
Definition at line 204 of file monitor.hpp.
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Read the record history of all variables through an array of output iterators.
| first | An iterator of container of output iterators |
Definition at line 217 of file monitor.hpp.
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Read the record history of all variables through an output iterator.
| first | The output iterator |
For example, say first is of type double *, then if order == ColMajor, then, first[j * iter_size() + i] == record(i, j). Otherwise, if order == RowMajor, then first[i * dim() + j] == record(i, j). That is, the output is an iter_size() by dim() matrix, with the usual meaning of column or row major order.
Definition at line 234 of file monitor.hpp.
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Get the latest Monte Carlo integration record of a given variable.
For a dim dimension Monitor, id shall be 0 to dim - 1
Definition at line 168 of file monitor.hpp.
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Get the Monte Carlo integration record of a given variable and the Monitor iteration.
For a dim dimension Monitor, id shall be 0 to dim - 1
Definition at line 182 of file monitor.hpp.
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Read only access to the raw data of records (a row major matrix)
Definition at line 199 of file monitor.hpp.
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Whether the Monitor is actively recording results.
Definition at line 295 of file monitor.hpp.
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Reserve space for a specified number of iterations.
Definition at line 116 of file monitor.hpp.
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Set a new evaluation object of type eval_type.
Definition at line 250 of file monitor.hpp.
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Turn off the recording.
Definition at line 301 of file monitor.hpp.
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Turn on the recording.
Definition at line 298 of file monitor.hpp.
1.8.9.1
