// <copyright file="MCMCSampler.cs" company="Math.NET">
|
// Math.NET Numerics, part of the Math.NET Project
|
// http://numerics.mathdotnet.com
|
// http://github.com/mathnet/mathnet-numerics
|
//
|
// Copyright (c) 2009-2010 Math.NET
|
//
|
// Permission is hereby granted, free of charge, to any person
|
// obtaining a copy of this software and associated documentation
|
// files (the "Software"), to deal in the Software without
|
// restriction, including without limitation the rights to use,
|
// copy, modify, merge, publish, distribute, sublicense, and/or sell
|
// copies of the Software, and to permit persons to whom the
|
// Software is furnished to do so, subject to the following
|
// conditions:
|
//
|
// The above copyright notice and this permission notice shall be
|
// included in all copies or substantial portions of the Software.
|
//
|
// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
|
// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
|
// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
|
// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
|
// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
|
// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
|
// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
|
// OTHER DEALINGS IN THE SOFTWARE.
|
// </copyright>
|
|
using System;
|
using IStation.Numerics.Random;
|
|
namespace IStation.Numerics.Statistics.Mcmc
|
{
|
/// <summary>
|
/// A method which samples datapoints from a proposal distribution. The implementation of this sampler
|
/// is stateless: no variables are saved between two calls to Sample. This proposal is different from
|
/// <seealso cref="LocalProposalSampler{T}"/> in that it doesn't take any parameters; it samples random
|
/// variables from the whole domain.
|
/// </summary>
|
/// <typeparam name="T">The type of the datapoints.</typeparam>
|
/// <returns>A sample from the proposal distribution.</returns>
|
public delegate T GlobalProposalSampler<out T>();
|
|
/// <summary>
|
/// A method which samples datapoints from a proposal distribution given an initial sample. The implementation
|
/// of this sampler is stateless: no variables are saved between two calls to Sample. This proposal is different from
|
/// <seealso cref="GlobalProposalSampler{T}"/> in that it samples locally around an initial point. In other words, it
|
/// makes a small local move rather than producing a global sample from the proposal.
|
/// </summary>
|
/// <typeparam name="T">The type of the datapoints.</typeparam>
|
/// <param name="init">The initial sample.</param>
|
/// <returns>A sample from the proposal distribution.</returns>
|
public delegate T LocalProposalSampler<T>(T init);
|
|
/// <summary>
|
/// A function which evaluates a density.
|
/// </summary>
|
/// <typeparam name="T">The type of data the distribution is over.</typeparam>
|
/// <param name="sample">The sample we want to evaluate the density for.</param>
|
public delegate double Density<in T>(T sample);
|
|
/// <summary>
|
/// A function which evaluates a log density.
|
/// </summary>
|
/// <typeparam name="T">The type of data the distribution is over.</typeparam>
|
/// <param name="sample">The sample we want to evaluate the log density for.</param>
|
public delegate double DensityLn<in T>(T sample);
|
|
/// <summary>
|
/// A function which evaluates the log of a transition kernel probability.
|
/// </summary>
|
/// <typeparam name="T">The type for the space over which this transition kernel is defined.</typeparam>
|
/// <param name="to">The new state in the transition.</param>
|
/// <param name="from">The previous state in the transition.</param>
|
/// <returns>The log probability of the transition.</returns>
|
public delegate double TransitionKernelLn<in T>(T to, T from);
|
|
/// <summary>
|
/// The interface which every sampler must implement.
|
/// </summary>
|
/// <typeparam name="T">The type of samples this sampler produces.</typeparam>
|
public abstract class McmcSampler<T>
|
{
|
/// <summary>
|
/// The random number generator for this class.
|
/// </summary>
|
private System.Random _randomNumberGenerator;
|
|
/// <summary>
|
/// Keeps track of the number of accepted samples.
|
/// </summary>
|
protected int Accepts;
|
|
/// <summary>
|
/// Keeps track of the number of calls to the proposal sampler.
|
/// </summary>
|
protected int Samples;
|
|
/// <summary>
|
/// Initializes a new instance of the <see cref="McmcSampler{T}"/> class.
|
/// </summary>
|
/// <remarks>Thread safe instances are two and half times slower than non-thread
|
/// safe classes.</remarks>
|
protected McmcSampler()
|
{
|
Accepts = 0;
|
Samples = 0;
|
RandomSource = SystemRandomSource.Default;
|
}
|
|
/// <summary>
|
/// Gets or sets the random number generator.
|
/// </summary>
|
/// <exception cref="ArgumentNullException">When the random number generator is null.</exception>
|
public System.Random RandomSource
|
{
|
get => _randomNumberGenerator;
|
set => _randomNumberGenerator = value ?? SystemRandomSource.Default;
|
}
|
|
/// <summary>
|
/// Returns one sample.
|
/// </summary>
|
public abstract T Sample();
|
|
/// <summary>
|
/// Returns a number of samples.
|
/// </summary>
|
/// <param name="n">The number of samples we want.</param>
|
/// <returns>An array of samples.</returns>
|
public virtual T[] Sample(int n)
|
{
|
var ret = new T[n];
|
for (int i = 0; i < n; i++)
|
{
|
ret[i] = Sample();
|
}
|
return ret;
|
}
|
|
/// <summary>
|
/// Gets the acceptance rate of the sampler.
|
/// </summary>
|
public double AcceptanceRate => Accepts / (double)Samples;
|
}
|
}
|
