SMC Sampler. More...

#include <vsmc/core/sampler.hpp>

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

using	mcmc_type = std::function< std::size_t(std::size_t, Particle< T > &)>

using	monitor_map_type = std::map< std::string, Monitor< T >>

using	move_type = std::function< std::size_t(std::size_t, Particle< T > &)>

using	resample_type = typename Particle< T >::resample_type

using	size_type = typename Particle< T >::size_type

using	value_type = T

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, const resample_type &res_op)
	Construct a Sampler with a user defined resampling operation. 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)
	Construct a Sampler with a user defined resampling scheme and a threshold for resampling. 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, MonitorStage stage=MonitorMCMC)
	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...

template<typename OutputIter >
void	read_size_history (OutputIter first) const
	Read sampler size 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...

double	size_history (std::size_t iter) const
	Get sampler size of a given iteration (initialization count as iteration zero) More...

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

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

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

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

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

template<typename OutputIter >
void	summary_header_int (OutputIter first) const
	Sampler summary header (integer data) More...

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

std::size_t	summary_header_size_int () const
	The size of Sampler summary header (integer data, size etc.) 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 59 of file sampler.hpp.

Member Typedef Documentation

template<typename T>

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

Definition at line 65 of file sampler.hpp.

template<typename T>

using vsmc::Sampler< T >::mcmc_type = std::function<std::size_t(std::size_t, Particle<T> &)>

Definition at line 67 of file sampler.hpp.

template<typename T>

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

Definition at line 68 of file sampler.hpp.

template<typename T>

using vsmc::Sampler< T >::move_type = std::function<std::size_t(std::size_t, Particle<T> &)>

Definition at line 66 of file sampler.hpp.

template<typename T>

using vsmc::Sampler< T >::resample_type = typename Particle<T>::resample_type

Definition at line 63 of file sampler.hpp.

template<typename T>

using vsmc::Sampler< T >::size_type = typename Particle<T>::size_type

Definition at line 62 of file sampler.hpp.

template<typename T>

using vsmc::Sampler< T >::value_type = T

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.

Definition at line 71 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.

By default, resampling will be performed at every iteration.

Definition at line 85 of file sampler.hpp.

template<typename T>

vsmc::Sampler< T >::Sampler	(	size_type	N,
		const resample_type &	res_op
	)

inline

Construct a Sampler with a user defined resampling operation.

By default, resampling will be performed at every iteration.

Definition at line 99 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.

Definition at line 111 of file sampler.hpp.

template<typename T>

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

inline

Construct a Sampler with a user defined resampling scheme and a threshold for resampling.

Definition at line 123 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 313 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 566 of file sampler.hpp.

template<typename T>

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

inline

Erase all monitors.

Definition at line 573 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 138 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 154 of file sampler.hpp.

template<typename T>

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

inline

Definition at line 174 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 290 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 325 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 340 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 352 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 451 of file sampler.hpp.

template<typename T>

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

inline

Current iteration number (initialization count as zero)

Definition at line 216 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 213 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 472 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 417 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 430 of file sampler.hpp.

template<typename T>

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

inline

Clear the mcmc queue.

Definition at line 403 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 411 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 414 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 510 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`,
		MonitorStage	stage = `MonitorMCMC`
	)

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
stage	The stage of the Monitor

See also: Monitor

Definition at line 526 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 537 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 547 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 559 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 563 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 376 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 389 of file sampler.hpp.

template<typename T>

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

inline

Clear the move queue.

Definition at line 363 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 370 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 373 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 319 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 322 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 487 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 490 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 493 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 504 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 686 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 294 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 307 of file sampler.hpp.

template<typename T>

template<typename OutputIter >

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

inline

Read sampler size history through an output iterator.

Definition at line 284 of file sampler.hpp.

template<typename T>

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

inline

Force resample.

Definition at line 219 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 227 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 236 of file sampler.hpp.

template<typename T>

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

inline

Get resampling threshold.

Definition at line 255 of file sampler.hpp.

template<typename T>

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

inline

Set resampling threshold.

Definition at line 258 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 273 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 266 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 300 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>

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

inline

Get sampler size of a given iteration (initialization count as iteration zero)

Definition at line 280 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 (floating point data)

Definition at line 670 of file sampler.hpp.

template<typename T>

template<MatrixOrder Order, typename OutputIter >

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

inline

Sampler summary data (integer data)

Definition at line 657 of file sampler.hpp.

template<typename T>

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

inline

The size of Sampler summary data (floating point data)

Definition at line 650 of file sampler.hpp.

template<typename T>

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

inline

The size of Sampler summary data (integer data)

Definition at line 644 of file sampler.hpp.

template<typename T>

template<typename OutputIter >

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

inline

Sampler summary header (floating point data)

Definition at line 620 of file sampler.hpp.

template<typename T>

template<typename OutputIter >

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

inline

Sampler summary header (integer data)

Definition at line 607 of file sampler.hpp.

template<typename T>

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

inline

The size of Sampler summary header (floating point data)

Definition at line 590 of file sampler.hpp.

template<typename T>

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

inline

The size of Sampler summary header (integer data, size etc.)

Definition at line 581 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 >