src/markov_chain_calibrate.c File Reference

#include <string.h>
#include <stdio.h>
#include <math.h>
#include <gsl/gsl_linalg.h>
#include "mcmc.h"
#include "mcmc_internal.h"
#include "debug.h"
#include "gsl_helper.h"

Defines
#define	BETWEEN(x, min, max)   ( (x) >= (min) && (x) <= (max) )
#define	MAX(a, b)   ((a) > (b) ? a : b)
#define	MIN(a, b)   ((a) < (b) ? a : b)
#define	MAX_ACCURACY_IMPROVEMENT   2.8
#define	SCALE_LIN_WORST   5
#define	SCALE_MIN   0.4
Functions
void	markov_chain_calibrate_multilinear_regression (mcmc *m, double desired_acceptance_rate, const double max_ar_deviation, const unsigned int iter_limit, double mul, const double adjust_step)
void	markov_chain_calibrate_linear_regression (mcmc *m, double desired_acceptance_rate, const double max_ar_deviation, const unsigned int iter_limit, gsl_matrix *all_stepwidths, gsl_matrix *all_acceptance_rates, gsl_matrix *all_accuracies)
void	markov_chain_calibrate_quadratic (mcmc *m, double desired_acceptance_rate, const double max_ar_deviation, const unsigned int iter_limit, double mul, const double adjust_step)
void	markov_chain_calibrate_alt (mcmc *m, double desired_acceptance_rate, const double max_ar_deviation, const unsigned int iter_limit, double mul, const double adjust_step)
void	markov_chain_calibrate_orig (mcmc *m, double rat_limit, const double max_rat_deviation, const unsigned int iter_limit, double mul, const double adjust_step)
void	markov_chain_calibrate (mcmc *m, const unsigned int burn_in_iterations, double desired_acceptance_rate, const double max_ar_deviation, const unsigned int iter_limit, double mul, const double adjust_step)

---

Define Documentation

#define BETWEEN	(		x,
			min,
			max
	)		( (x) >= (min) && (x) <= (max) )

Referenced by markov_chain_calibrate_quadratic().

#define MAX	(		a,
			b
	)		((a) > (b) ? a : b)

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

#define MAX_ACCURACY_IMPROVEMENT   2.8

Referenced by markov_chain_calibrate_alt().

#define MIN	(		a,
			b
	)		((a) < (b) ? a : b)

Referenced by markov_chain_calibrate_quadratic().

#define SCALE_LIN_WORST   5

Referenced by markov_chain_calibrate_alt().

#define SCALE_MIN   0.4

Referenced by markov_chain_calibrate_alt().

---

Function Documentation

void markov_chain_calibrate	(	mcmc *	m,
		const unsigned int	burn_in_iterations,
		double	desired_acceptance_rate,
		const double	max_ar_deviation,
		const unsigned int	iter_limit,
		double	mul,
		const double	adjust_step
	)

create/calibrate the markov-chain

Parameters:

m
desired_acceptance_rate	average acceptance rates for individual parameters to be achieved
max_ar_deviation	allowed deviation from desired_acceptance_rate
burn_in_iterations	number of burn-in iterations
iter_limit	number of iterations for step width calibration
mul	factor for adjusting the step width during calibration
adjust_step	gives the factor with which to adjust the stepwidths after burn-in

References burn_in(), dump_d, markov_chain_calibrate_alt(), markov_chain_calibrate_multilinear_regression(), markov_chain_calibrate_orig(), and markov_chain_calibrate_quadratic().

Referenced by calibrate_first(), and calibrate_rest().

void markov_chain_calibrate_alt	(	mcmc *	m,
		double	desired_acceptance_rate,
		const double	max_ar_deviation,
		const unsigned int	iter_limit,
		double	mul,
		const double	adjust_step
	)

References abs_double, assert, assess_acceptance_rate(), dump_v, get_n_par(), get_params(), get_steps_for(), get_steps_for_normalized(), MAX_ACCURACY_IMPROVEMENT, SCALE_LIN_WORST, SCALE_MIN, and set_steps_for().

Referenced by markov_chain_calibrate().

void markov_chain_calibrate_linear_regression	(	mcmc *	m,
		double	desired_acceptance_rate,
		const double	max_ar_deviation,
		const unsigned int	iter_limit,
		gsl_matrix *	all_stepwidths,
		gsl_matrix *	all_acceptance_rates,
		gsl_matrix *	all_accuracies
	)

References abs_double, assert, assess_acceptance_rate(), debug, get_n_par(), IFDEBUG, MAX, and set_steps_for_normalized().

Referenced by markov_chain_calibrate_quadratic().

void markov_chain_calibrate_multilinear_regression	(	mcmc *	m,
		double	desired_acceptance_rate,
		const double	max_ar_deviation,
		const unsigned int	iter_limit,
		double	mul,
		const double	adjust_step
	)

References abs_double, assess_acceptance_rate(), calc_deviation(), dump_v, get_n_par(), get_random(), get_steps(), get_steps_for_normalized(), IFDEBUG, linreg_n(), MAX, and set_steps_for_normalized().

Referenced by markov_chain_calibrate().

void markov_chain_calibrate_orig	(	mcmc *	m,
		double	rat_limit,
		const double	max_rat_deviation,
		const unsigned int	iter_limit,
		double	mul,
		const double	adjust_step
	)

References abs_double, assert, debug, dump_d, dump_i, dump_ul, dump_v, get_accept_rate(), get_accept_rate_global(), get_n_par(), get_params(), get_params_descr(), get_steps(), get_steps_for(), get_steps_for_normalized(), IFDEBUG, ITER_READJUST, markov_chain_step(), markov_chain_step_for(), mcmc_check_best(), NO_RESCALING_LIMIT, mcmc::params_max, mcmc::params_min, mcmc::params_step, reset_accept_rejects(), restart_from_best(), set_steps_for(), set_steps_for_normalized(), and TARGET_ACCEPTANCE_RATE.

Referenced by markov_chain_calibrate().

void markov_chain_calibrate_quadratic	(	mcmc *	m,
		double	desired_acceptance_rate,
		const double	max_ar_deviation,
		const unsigned int	iter_limit,
		double	mul,
		const double	adjust_step
	)

break condition:

References abs_double, assess_acceptance_rate(), BETWEEN, get_n_par(), get_steps_for_normalized(), IFDEBUG, markov_chain_calibrate_linear_regression(), MAX, max_column(), MIN, min_column(), and set_steps_for_normalized().

Referenced by markov_chain_calibrate().