src/markov_chain.c File Reference

#include <string.h>
#include <stdio.h>
#include <libgen.h>
#include "mcmc.h"
#include "mcmc_internal.h"
#include "debug.h"
#include "gsl_helper.h"
#include <gsl/gsl_sf.h>

Defines
#define	MINIMAL_STEPWIDTH   0.0000001
#define	MAXIMAL_STEPWIDTH   1000000
Functions
void	restart_from_best (mcmc *m)
void	burn_in (mcmc *m, const unsigned int burn_in_iterations)
void	clear_bit (char *bitfield, unsigned int i)
void	set_bit (char *bitfield, unsigned int i)
int	get_bit (char *bitfield, unsigned int i)
unsigned int	assess_acceptance_rate (mcmc *m, unsigned int param, double desired_acceptance_rate, double min_accuracy, double max_accuracy, double *acceptance_rate, double *accuracy)
void	do_step_for (mcmc *m, const unsigned int i)
void	markov_chain_step_for (mcmc *m, const unsigned int index)
void	rmw_adapt_stepwidth (mcmc *m, const double prob_old)
void	markov_chain_step (mcmc *m)

---

Define Documentation

#define MAXIMAL_STEPWIDTH   1000000

Referenced by rmw_adapt_stepwidth().

#define MINIMAL_STEPWIDTH   0.0000001

Referenced by rmw_adapt_stepwidth().

---

Function Documentation

unsigned int assess_acceptance_rate	(	mcmc *	m,
		unsigned int	param,
		double	desired_acceptance_rate,
		double	min_accuracy,
		double	max_accuracy,
		double *	acceptance_rate,
		double *	accuracy
	)

Get acceptance rate. The closer the acceptance rate is to the desired acceptance rate, the more accurately will it be assessed.

Parameters:

m
param
desired_acceptance_rate
min_accuracy	you can request a upper limit on the accuracy, e.g. 1%. any calculation will have at most the accuracy of 1% then. Otherwise put 0 here.
max_accuracy	you can request a lower limit on the accuracy, e.g. 0.1% any calculation will have at least the accuracy of 0.1% then. Otherwise put 1 here.
acceptance_rate	here the a/r gets stored
accuracy	here the accuracy gets stored

Returns:

iterations used

References abs_double, ACCURACY_DEVIATION_FACTOR, assert, clear_bit(), get_bit(), get_n_par(), get_params_accepts_for(), get_params_accepts_global(), IFVERBOSE, markov_chain_step(), markov_chain_step_for(), mcmc_check_best(), reset_accept_rejects(), and set_bit().

Referenced by markov_chain_calibrate_alt(), markov_chain_calibrate_linear_regression(), markov_chain_calibrate_multilinear_regression(), and markov_chain_calibrate_quadratic().

void burn_in	(	mcmc *	m,
		const unsigned int	burn_in_iterations
	)

Perform the given number of burn-in operations

References debug, dump_ul, dump_v, dup_vector(), get_params(), get_steps(), IFVERBOSE, markov_chain_step(), mcmc_check(), mcmc_check_best(), mcmc::params_max, mcmc::params_min, mcmc::params_step, and restart_from_best().

Referenced by calibrate_rest(), and markov_chain_calibrate().

void clear_bit	(	char *	bitfield,
		unsigned int	i
	)

Referenced by assess_acceptance_rate().

void do_step_for	(	mcmc *	m,
		const unsigned int	i
	)

References assert, CIRCULAR_PARAMS, get_next_random_jump(), IFVERBOSE, mod_double, mcmc::params, mcmc::params_max, mcmc::params_min, mcmc::params_step, and set_params_for().

Referenced by markov_chain_step_for().

int get_bit	(	char *	bitfield,
		unsigned int	i
	)

Referenced by assess_acceptance_rate().

void markov_chain_step

(

mcmc *

m

)

take a step using the markov-chain

Parameters:

m

References calc_model(), dup_vector(), get_prob(), inc_params_accepts(), inc_params_rejects(), mcmc_check(), mcmc::params, and set_params().

Referenced by adapt(), assess_acceptance_rate(), burn_in(), markov_chain_calibrate_orig(), and run_sampler().

void markov_chain_step_for	(	mcmc *	m,
		const unsigned int	index
	)

take a step using the markov-chain for the indexth parameter

Parameters:

m
index	the param to look at

References calc_model_for(), do_step_for(), get_prob(), inc_params_accepts_for(), inc_params_rejects_for(), mcmc_check(), mcmc::params, and set_params_for().

Referenced by assess_acceptance_rate(), and markov_chain_calibrate_orig().

void restart_from_best

(

mcmc *

m

)

Set the best parameters value found so far as current value, as well as the probability.

References dup_vector(), get_params_best(), get_prob_best(), set_params(), and set_prob().

Referenced by burn_in(), and markov_chain_calibrate_orig().

void rmw_adapt_stepwidth	(	mcmc *	m,
		double	prob_old
	)

adapts the step width

References get_n_par(), get_next_uniform_random(), get_prob(), get_steps(), MAXIMAL_STEPWIDTH, MINIMAL_STEPWIDTH, mcmc::n_iter, mcmc::params_max, mcmc::params_min, and TARGET_ACCEPTANCE_RATE.

Referenced by adapt().

void set_bit	(	char *	bitfield,
		unsigned int	i
	)

Referenced by assess_acceptance_rate().