SMC Sampler. More...

#include <vsmc/core/sampler.hpp>

Public Types
typedef cxx11::function< std::size_t(Particle< T > &, void *)>	init_type

typedef cxx11::function< std::size_t(std::size_t, Particle< T > &)>	mcmc_type

typedef std::map< std::string, Monitor< T > >	monitor_map_type

typedef cxx11::function< std::size_t(std::size_t, Particle< T > &)>	move_type

typedef Particle< T >::resample_type	resample_type

typedef Particle< T >::size_type	size_type

typedef T	value_type

Public Member Functions
	Sampler (size_type N)
	Construct a Sampler without selection of resampling method. More...

	Sampler (size_type N, ResampleScheme scheme)
	Construct a Sampler with a built-in resampling scheme. More...

	Sampler (size_type N, ResampleScheme scheme, double resample_threshold)
	Construct a Sampler with a built-in resampling scheme and a threshold for resampling. More...

	Sampler (size_type N, const resample_type &res_op, double resample_threshold=0.5)
	Construct a Sampler with a user defined resampling operation. More...

std::size_t	accept_history (std::size_t id, std::size_t iter) const
	Get the accept count of a given move id and the iteration. More...

bool	clear_monitor (const std::string &name)
	Erase a named monitor. More...

Sampler< T > &	clear_monitor ()
	Erase all monitors. More...

Sampler< T >	clone (bool new_rng) const
	Clone the sampler system except the RNG engines. More...

Sampler< T > &	clone (const Sampler< T > &other, bool retain_rng)
	Clone another sampler system except the RNG engines. More...

Sampler< T > &	clone (Sampler< T > &&other, bool retain_rng)

double	ess_history (std::size_t iter) const
	Get ESS of a given iteration, initialization count as iter 0. More...

Sampler< T > &	init (const init_type &new_init)
	Set the initialization object of type init_type. More...

Sampler< T > &	init_by_iter (bool initialize_by_iterate)
	Set if initialization should use the move and mcmc queue. More...

Sampler< T > &	init_by_move (const move_type &new_init)
	Set the initialization object with a type move_type object. More...

Sampler< T > &	initialize (void *param=nullptr)
	Initialization. More...

std::size_t	iter_num () const
	Current iteration number (initialization count as zero) More...

std::size_t	iter_size () const
	Number of iterations (including initialization) More...

Sampler< T > &	iterate (std::size_t num=1)
	Iteration. More...

Sampler< T > &	mcmc (const mcmc_type &new_mcmc, bool append)
	Add a new mcmc. More...

template<typename InputIter >
Sampler< T > &	mcmc (InputIter first, InputIter last, bool append)
	Add a sequence of new mcmcs. More...

Sampler< T > &	mcmc_queue_clear ()
	Clear the mcmc queue. More...

bool	mcmc_queue_empty () const
	Check if mcmc queue is empty. More...

std::size_t	mcmc_queue_size () const
	Check the size of the mcmc queue. More...

Sampler< T > &	monitor (const std::string &name, const Monitor< T > &mon)
	Add a monitor. More...

Sampler< T > &	monitor (const std::string &name, std::size_t dim, const typename Monitor< T >::eval_type &eval, bool record_only=false)
	Add a monitor with an evaluation object. More...

Monitor< T > &	monitor (const std::string &name)
	Read and write access to a named monitor. More...

const Monitor< T > &	monitor (const std::string &name) const
	Read only access to a named monitor. More...

monitor_map_type &	monitor ()
	Read and write access to all monitors to the monitor_map_type object. More...

const monitor_map_type &	monitor () const
	Read only access to all monitors to the the monitor_map_type object. More...

Sampler< T > &	move (const move_type &new_move, bool append)
	Add a new move. More...

template<typename InputIter >
Sampler< T > &	move (InputIter first, InputIter last, bool append)
	Add a sequence of new moves. More...

Sampler< T > &	move_queue_clear ()
	Clear the move queue. More...

bool	move_queue_empty () const
	Check if move queue is empty. More...

std::size_t	move_queue_size () const
	Check the size of the move queue. More...

Particle< T > &	particle ()
	Read and write access to the Particle<T> object. More...

const Particle< T > &	particle () const
	Read only access to the Particle<T> object. More...

Path< T > &	path ()
	Read and write access to the Path sampling monitor. More...

const Path< T > &	path () const
	Read only access to the Path sampling monitor. More...

Sampler< T > &	path_sampling (const typename Path< T >::eval_type &eval, bool record_only=false)
	Set the Path sampling evaluation object. More...

double	path_sampling () const
	Path sampling estimate of the logarithm of normalizing constants ratio. More...

template<typename CharT , typename Traits >
std::basic_ostream< CharT, Traits > &	print (std::basic_ostream< CharT, Traits > &os, char sepchar= '\t') const
	Print the history of the Sampler. More...

template<typename OutputIter >
void	read_ess_history (OutputIter first) const
	Read ESS history through an output iterator. More...

template<typename OutputIter >
void	read_resampled_history (OutputIter first) const
	Read resampling indicator history through an output iterator. More...

Sampler< T > &	resample ()
	Force resample. More...

Sampler< T > &	resample_scheme (const resample_type &res_op)
	Set resampling method by a resample_type object. More...

Sampler< T > &	resample_scheme (ResampleScheme scheme)
	Set resampling method by a built-in ResampleScheme scheme name. More...

double	resample_threshold () const
	Get resampling threshold. More...

Sampler< T > &	resample_threshold (double threshold)
	Set resampling threshold. More...

bool	resampled_history (std::size_t iter) const
	Get resampling indicator of a given iteration. More...

void	reserve (std::size_t num)
	Reserve space for a specified number of iterations. More...

size_type	size () const
	Number of particles. More...

template<MatrixOrder Order, typename OutputIter >
void	summary_data (OutputIter first) const
	Sampler summary data. More...

std::size_t	summary_data_size () const
	The size of Sampler summary data. More...

template<typename OutputIter >
void	summary_header (OutputIter first) const
	Sampler summary header. More...

std::size_t	summary_header_size () const
	The size of Sampler summary header. More...

Static Public Member Functions
static double	resample_threshold_always ()
	Special value of resampling threshold that indicate no resampling will always be performed. More...

static double	resample_threshold_never ()
	Special value of resampling threshold that indicate no resampling will be ever performed. More...

Detailed Description

template<typename T>
class vsmc::Sampler< T >

SMC Sampler.

Definition at line 58 of file sampler.hpp.

Member Typedef Documentation

template<typename T>

typedef cxx11::function<std::size_t (Particle<T> &, void *)> vsmc::Sampler< T >::init_type

Definition at line 65 of file sampler.hpp.

template<typename T>

typedef cxx11::function<std::size_t (std::size_t, Particle<T> &)> vsmc::Sampler< T >::mcmc_type

Definition at line 69 of file sampler.hpp.

template<typename T>

typedef std::map<std::string, Monitor<T> > vsmc::Sampler< T >::monitor_map_type

Definition at line 70 of file sampler.hpp.

template<typename T>

typedef cxx11::function<std::size_t (std::size_t, Particle<T> &)> vsmc::Sampler< T >::move_type

Definition at line 67 of file sampler.hpp.

template<typename T>

typedef Particle<T>::resample_type vsmc::Sampler< T >::resample_type

Definition at line 63 of file sampler.hpp.

template<typename T>

typedef Particle<T>::size_type vsmc::Sampler< T >::size_type

Definition at line 62 of file sampler.hpp.

template<typename T>

typedef T vsmc::Sampler< T >::value_type

Definition at line 64 of file sampler.hpp.

Constructor & Destructor Documentation

template<typename T>

vsmc::Sampler< T >::Sampler ( size_type N )

inlineexplicit

Construct a Sampler without selection of resampling method.

If no resampling method, either built-in ones or user defined are provided, then it is assumed that no resamling shall be performed at all. And the threshold is set to resample_threshold_never(). If resampling is consdiered, then use the other two versions of the constructor to make the intention clear to the library.

Definition at line 80 of file sampler.hpp.

template<typename T>

vsmc::Sampler< T >::Sampler	(	size_type	N,
		ResampleScheme	scheme
	)

inline

Construct a Sampler with a built-in resampling scheme.

If a built-in scheme is chosen, then it is assumed that the user always want to perform resampling.

Definition at line 90 of file sampler.hpp.

template<typename T>

vsmc::Sampler< T >::Sampler	(	size_type	N,
		ResampleScheme	scheme,
		double	resample_threshold
	)

inline

Construct a Sampler with a built-in resampling scheme and a threshold for resampling.

If a built-in scheme is chosen, then it is assumed that at least the user want to perform resampling at least sometime. So the threshold is set to 0.5 if not provided as the third parameter.

Definition at line 102 of file sampler.hpp.

template<typename T>

vsmc::Sampler< T >::Sampler	(	size_type	N,
		const resample_type &	res_op,
		double	resample_threshold = `0.5`
	)

inline

Construct a Sampler with a user defined resampling operation.

If a user defined resampling operation is set, then it is assumed that at least the user want to perform resampling at least sometime. So the threshold is set to 0.5 if not provided as the third parameter.

Definition at line 113 of file sampler.hpp.

Member Function Documentation

template<typename T>

std::size_t vsmc::Sampler< T >::accept_history	(	std::size_t	id,
		std::size_t	iter
	)		const

inline

Get the accept count of a given move id and the iteration.

Definition at line 300 of file sampler.hpp.

template<typename T>

bool vsmc::Sampler< T >::clear_monitor ( const std::string & name )

inline

Erase a named monitor.

Definition at line 553 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::clear_monitor ( )

inline

Erase all monitors.

Definition at line 560 of file sampler.hpp.

template<typename T>

Sampler<T> vsmc::Sampler< T >::clone ( bool new_rng ) const

inline

Clone the sampler system except the RNG engines.

Parameters

new_rng If true, the new particle system has new-seeded RNG. Otherwise false, it is exactly the same as the current.

Definition at line 123 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::clone	(	const Sampler< T > &	other,
		bool	retain_rng
	)

inline

Clone another sampler system except the RNG engines.

Parameters

other	The particle system to be cloned
retain_rng	If true, retain the current system's RNG. Otherwise, it is exactly the same as the new one.

Definition at line 140 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::clone	(	Sampler< T > &&	other,
		bool	retain_rng
	)

inline

Definition at line 173 of file sampler.hpp.

template<typename T>

double vsmc::Sampler< T >::ess_history ( std::size_t iter ) const

inline

Get ESS of a given iteration, initialization count as iter 0.

Definition at line 283 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::init ( const init_type & new_init )

inline

Set the initialization object of type init_type.

Definition at line 310 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::init_by_iter ( bool initialize_by_iterate )

inline

Set if initialization should use the move and mcmc queue.

If set to false, then the initialization step use the initialization object if it is not empty. Otherwise, it perform the same steps as the iteration step.

Definition at line 325 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::init_by_move ( const move_type & new_init )

inline

Set the initialization object with a type move_type object.

When called, the iteration parameter passed to this object will be 0 and the void * parameter will be ignored.

Definition at line 337 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::initialize ( void * param = nullptr )

inline

Initialization.

Parameters

param Additional parameters passed to the initialization object of type init_type

All histories (ESS, resampled, accept, Monitor and Path) are clared before callling the initialization object. Monitors and Path's evaluation objects are untouched.

Definition at line 440 of file sampler.hpp.

template<typename T>

std::size_t vsmc::Sampler< T >::iter_num ( ) const

inline

Current iteration number (initialization count as zero)

The value of iter_size() - iter_num() is always 1. iter_size emphasize that it returns the total number of iterations. iter_num is more of an index of the sampler, starting from zero.

Definition at line 222 of file sampler.hpp.

template<typename T>

std::size_t vsmc::Sampler< T >::iter_size ( ) const

inline

Number of iterations (including initialization)

Definition at line 214 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::iterate ( std::size_t num = 1 )

inline

Iteration.

Moves performed first. Then ESS/N is compared to the threshold and possible resampling is performed. Then mcmcs are performed. Then monitors and Path are computed

Definition at line 464 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::mcmc	(	const mcmc_type &	new_mcmc,
		bool	append
	)

inline

Add a new mcmc.

Definition at line 406 of file sampler.hpp.

template<typename T>

template<typename InputIter >

Sampler<T>& vsmc::Sampler< T >::mcmc	(	InputIter	first,
		InputIter	last,
		bool	append
	)

inline

Add a sequence of new mcmcs.

Definition at line 419 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::mcmc_queue_clear ( )

inline

Clear the mcmc queue.

Definition at line 397 of file sampler.hpp.

template<typename T>

bool vsmc::Sampler< T >::mcmc_queue_empty ( ) const

inline

Check if mcmc queue is empty.

Definition at line 400 of file sampler.hpp.

template<typename T>

std::size_t vsmc::Sampler< T >::mcmc_queue_size ( ) const

inline

Check the size of the mcmc queue.

Definition at line 403 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::monitor	(	const std::string &	name,
		const Monitor< T > &	mon
	)

inline

Add a monitor.

Parameters

name	The name of the monitor
mon	The new monitor to be added

Definition at line 501 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::monitor	(	const std::string &	name,
		std::size_t	dim,
		const typename Monitor< T >::eval_type &	eval,
		bool	record_only = `false`
	)

inline

Add a monitor with an evaluation object.

Parameters

name	The name of the monitor
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

See also: Monitor

Definition at line 512 of file sampler.hpp.

template<typename T>

Monitor<T>& vsmc::Sampler< T >::monitor ( const std::string & name )

inline

Read and write access to a named monitor.

Definition at line 523 of file sampler.hpp.

template<typename T>

const Monitor<T>& vsmc::Sampler< T >::monitor ( const std::string & name ) const

inline

Read only access to a named monitor.

Definition at line 534 of file sampler.hpp.

template<typename T>

monitor_map_type& vsmc::Sampler< T >::monitor ( )

inline

Read and write access to all monitors to the monitor_map_type object.

Definition at line 546 of file sampler.hpp.

template<typename T>

const monitor_map_type& vsmc::Sampler< T >::monitor ( ) const

inline

Read only access to all monitors to the the monitor_map_type object.

Definition at line 550 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::move	(	const move_type &	new_move,
		bool	append
	)

inline

Add a new move.

Definition at line 370 of file sampler.hpp.

template<typename T>

template<typename InputIter >

Sampler<T>& vsmc::Sampler< T >::move	(	InputIter	first,
		InputIter	last,
		bool	append
	)

inline

Add a sequence of new moves.

Definition at line 383 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::move_queue_clear ( )

inline

Clear the move queue.

Definition at line 361 of file sampler.hpp.

template<typename T>

bool vsmc::Sampler< T >::move_queue_empty ( ) const

inline

Check if move queue is empty.

Definition at line 364 of file sampler.hpp.

template<typename T>

std::size_t vsmc::Sampler< T >::move_queue_size ( ) const

inline

Check the size of the move queue.

Definition at line 367 of file sampler.hpp.

template<typename T>

Particle<T>& vsmc::Sampler< T >::particle ( )

inline

Read and write access to the Particle<T> object.

Definition at line 304 of file sampler.hpp.

template<typename T>

const Particle<T>& vsmc::Sampler< T >::particle ( ) const

inline

Read only access to the Particle<T> object.

Definition at line 307 of file sampler.hpp.

template<typename T>

Path<T>& vsmc::Sampler< T >::path ( )

inline

Read and write access to the Path sampling monitor.

Definition at line 483 of file sampler.hpp.

template<typename T>

const Path<T>& vsmc::Sampler< T >::path ( ) const

inline

Read only access to the Path sampling monitor.

Definition at line 486 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::path_sampling	(	const typename Path< T >::eval_type &	eval,
		bool	record_only = `false`
	)

inline

Set the Path sampling evaluation object.

Definition at line 489 of file sampler.hpp.

template<typename T>

double vsmc::Sampler< T >::path_sampling ( ) const

inline

Path sampling estimate of the logarithm of normalizing constants ratio.

Definition at line 495 of file sampler.hpp.

template<typename T>

template<typename CharT , typename Traits >

std::basic_ostream<CharT, Traits>& vsmc::Sampler< T >::print	(	std::basic_ostream< CharT, Traits > &	os,
		char	sepchar = `'\t'`
	)		const

inline

Print the history of the Sampler.

Parameters

os	The ostream to which the contents are printed
sepchar	The seperator of fields

Definition at line 650 of file sampler.hpp.

template<typename T>

template<typename OutputIter >

void vsmc::Sampler< T >::read_ess_history ( OutputIter first ) const

inline

Read ESS history through an output iterator.

Definition at line 287 of file sampler.hpp.

template<typename T>

template<typename OutputIter >

void vsmc::Sampler< T >::read_resampled_history ( OutputIter first ) const

inline

Read resampling indicator history through an output iterator.

Definition at line 296 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::resample ( )

inline

Force resample.

Definition at line 225 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::resample_scheme ( const resample_type & res_op )

inline

Set resampling method by a resample_type object.

Definition at line 234 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::resample_scheme ( ResampleScheme scheme )

inline

Set resampling method by a built-in ResampleScheme scheme name.

Definition at line 239 of file sampler.hpp.

template<typename T>

double vsmc::Sampler< T >::resample_threshold ( ) const

inline

Get resampling threshold.

Definition at line 266 of file sampler.hpp.

template<typename T>

Sampler<T>& vsmc::Sampler< T >::resample_threshold ( double threshold )

inline

Set resampling threshold.

Definition at line 269 of file sampler.hpp.

template<typename T>

static double vsmc::Sampler< T >::resample_threshold_always ( )

inlinestatic

Special value of resampling threshold that indicate no resampling will always be performed.

Definition at line 279 of file sampler.hpp.

template<typename T>

static double vsmc::Sampler< T >::resample_threshold_never ( )

inlinestatic

Special value of resampling threshold that indicate no resampling will be ever performed.

Definition at line 274 of file sampler.hpp.

template<typename T>

bool vsmc::Sampler< T >::resampled_history ( std::size_t iter ) const

inline

Get resampling indicator of a given iteration.

Definition at line 291 of file sampler.hpp.

template<typename T>

void vsmc::Sampler< T >::reserve ( std::size_t num )

inline

Reserve space for a specified number of iterations.

Definition at line 198 of file sampler.hpp.

template<typename T>

size_type vsmc::Sampler< T >::size ( ) const

inline

Number of particles.

Definition at line 195 of file sampler.hpp.

template<typename T>

template<MatrixOrder Order, typename OutputIter >

void vsmc::Sampler< T >::summary_data ( OutputIter first ) const

inline

Sampler summary data.

Parameters

first The beginning of the output

Definition at line 633 of file sampler.hpp.

template<typename T>

std::size_t vsmc::Sampler< T >::summary_data_size ( ) const

inline

The size of Sampler summary data.

Definition at line 626 of file sampler.hpp.

template<typename T>

template<typename OutputIter >

void vsmc::Sampler< T >::summary_header ( OutputIter first ) const

inline

Sampler summary header.

Definition at line 583 of file sampler.hpp.

template<typename T>

std::size_t vsmc::Sampler< T >::summary_header_size ( ) const

inline

The size of Sampler summary header.

Definition at line 563 of file sampler.hpp.

Public Types

Public Member Functions

Static Public Member Functions

Detailed Description

template<typename T> class vsmc::Sampler< T >

Member Typedef Documentation

Constructor & Destructor Documentation

Member Function Documentation

template<typename T>
class vsmc::Sampler< T >