BCEngineMCMC Class Reference

An engine class for Markov Chain Monte Carlo. More...

#include <BCEngineMCMC.h>

Collaboration diagram for BCEngineMCMC:

Public Types
Enumerators
enum	Precision { kLow, kMedium, kHigh, kVeryHigh }

Public Member Functions
void	WriteMarkovChain (bool flag)
Constructors and destructors
	BCEngineMCMC ()
	BCEngineMCMC (const BCEngineMCMC &enginemcmc)
virtual	~BCEngineMCMC ()
Assignment operators
BCEngineMCMC &	operator= (const BCEngineMCMC &engineMCMC)
Getters
unsigned	MCMCGetNChains () const
unsigned	MCMCGetNLag () const
const std::vector< unsigned > &	MCMCGetNIterations () const
unsigned	MCMCGetCurrentIteration () const
unsigned	MCMCGetCurrentChain () const
unsigned	MCMCGetNIterationsConvergenceGlobal () const
bool	MCMCGetFlagConvergenceGlobal () const
unsigned	MCMCGetNIterationsMax () const
unsigned	MCMCGetNIterationsRun () const
unsigned	MCMCGetNIterationsPreRunMin () const
unsigned	MCMCGetNIterationsUpdate () const
unsigned	MCMCGetNIterationsUpdateMax () const
std::vector< int >	MCMCGetNTrialsTrue () const
int	MCMCGetNTrials () const
const std::vector< double > &	MCMCGetprobMean () const
const std::vector< double > &	MCMCGetVariance () const
const std::vector< double > &	MCMCGetTrialFunctionScaleFactor () const
std::vector< double >	MCMCGetTrialFunctionScaleFactor (unsigned ichain) const
double	MCMCGetTrialFunctionScaleFactor (unsigned ichain, unsigned ipar)
const std::vector< double > &	MCMCGetx () const
std::vector< double >	MCMCGetx (unsigned ichain)
double	MCMCGetx (unsigned ichain, unsigned ipar) const
const std::vector< double > &	MCMCGetLogProbx () const
double	MCMCGetLogProbx (unsigned ichain)
int	MCMCGetPhase () const
const std::vector< double > &	MCMCGetMaximumPoints () const
std::vector< double >	MCMCGetMaximumPoint (unsigned i) const
const std::vector< double > &	MCMCGetMaximumLogProb () const
int	MCMCGetFlagInitialPosition () const
double	MCMCGetRValueCriterion () const
double	MCMCGetRValueParametersCriterion () const
double	MCMCGetRValue () const
double	MCMCGetRValueParameters (unsigned i)
bool	MCMCGetRValueStrict () const
bool	MCMCGetFlagRun () const
TTree *	MCMCGetMarkovChainTree (unsigned i)
BCH1D *	MCMCGetH1Marginalized (unsigned i)
BCH2D *	MCMCGetH2Marginalized (unsigned i, unsigned j)
const BCParameterSet &	GetParameters () const
BCParameter *	GetParameter (int index) const
BCParameter *	GetParameter (const char *name) const
unsigned int	GetNParameters () const
unsigned int	GetNFixedParameters ()
unsigned int	GetNFreeParameters ()
const std::vector< double > &	GetBestFitParametersMarginalized () const
Setters
void	MCMCSetTrialFunctionScaleFactor (std::vector< double > scale)
void	MCMCSetNChains (unsigned n)
void	MCMCSetNLag (unsigned n)
void	MCMCSetNIterationsMax (unsigned n)
void	MCMCSetNIterationsRun (unsigned n)
void	MCMCSetNIterationsPreRunMin (unsigned n)
void	MCMCSetNIterationsUpdate (unsigned n)
void	MCMCSetNIterationsUpdateMax (unsigned n)
void	MCMCSetMinimumEfficiency (double efficiency)
void	MCMCSetMaximumEfficiency (double efficiency)
void	MCMCSetRandomSeed (unsigned seed)
void	MCMCSetWriteChainToFile (bool flag)
void	MCMCSetWritePreRunToFile (bool flag)
void	MCMCSetInitialPositions (const std::vector< double > &x0s)
void	MCMCSetInitialPositions (std::vector< std::vector< double > > x0s)
void	MCMCSetFlagInitialPosition (int flag)
void	MCMCSetFlagOrderParameters (bool flag)
void	MCMCSetFlagFillHistograms (bool flag)
void	MCMCSetFlagPreRun (bool flag)
void	MCMCSetRValueCriterion (double r)
void	MCMCSetRValueParametersCriterion (double r)
void	MCMCSetRValueStrict (bool strict=true)
void	MCMCSetMarkovChainTrees (const std::vector< TTree * > &trees)
void	MCMCInitializeMarkovChainTrees ()
int	SetMarginalized (unsigned index, TH1D *h)
int	SetMarginalized (unsigned index1, unsigned index2, TH2D *h)
void	MCMCSetValuesDefault ()
void	MCMCSetValuesQuick ()
void	MCMCSetValuesDetail ()
void	MCMCSetPrecision (BCEngineMCMC::Precision precision)
void	SetNbins (unsigned int nbins)
Miscellaneous methods
void	Copy (const BCEngineMCMC &enginemcmc)
virtual int	AddParameter (const char *name, double min, double max, const char *latexname="")
virtual int	AddParameter (BCParameter *parameter)
virtual void	MCMCTrialFunction (unsigned ichain, std::vector< double > &x)
virtual double	MCMCTrialFunctionSingle (unsigned ichain, unsigned ipar)
bool	MCMCGetProposalPointMetropolis (unsigned chain, std::vector< double > &x)
bool	MCMCGetProposalPointMetropolis (unsigned chain, unsigned parameter, std::vector< double > &x)
bool	MCMCGetNewPointMetropolis (unsigned chain=0)
bool	MCMCGetNewPointMetropolis (unsigned chain, unsigned parameter)
void	MCMCInChainCheckMaximum ()
void	MCMCInChainUpdateStatistics ()
void	MCMCInChainFillHistograms ()
void	MCMCInChainTestConvergenceAllChains ()
void	MCMCInChainWriteChains ()
virtual double	LogEval (const std::vector< double > &parameters)
int	MCMCMetropolis ()
int	MCMCMetropolisPreRun ()
void	MCMCResetRunStatistics ()
void	MCMCInitializeMarkovChains ()
int	MCMCInitialize ()
virtual void	ResetResults ()
void	ClearParameters (bool hard=false)
virtual void	MCMCIterationInterface ()
virtual void	MCMCUserIterationInterface ()
virtual void	MCMCCurrentPointInterface (std::vector< double > &, int, bool)

Protected Attributes
BCParameterSet	fParameters
unsigned	fMCMCNChains
unsigned	fMCMCNLag
std::vector< unsigned >	fMCMCNIterations
int	fMCMCCurrentIteration
int	fMCMCCurrentChain
unsigned	fMCMCNIterationsUpdate
unsigned	fMCMCNIterationsUpdateMax
int	fMCMCNIterationsConvergenceGlobal
bool	fMCMCFlagConvergenceGlobal
unsigned	fMCMCNIterationsMax
unsigned	fMCMCNIterationsRun
unsigned	fMCMCNIterationsPreRunMin
std::vector< int >	fMCMCNTrialsTrue
unsigned	fMCMCNTrials
bool	fMCMCFlagWriteChainToFile
bool	fMCMCFlagWritePreRunToFile
std::vector< double >	fMCMCTrialFunctionScaleFactor
std::vector< double >	fMCMCTrialFunctionScaleFactorStart
bool	fMCMCFlagPreRun
bool	fMCMCFlagRun
std::vector< double >	fMCMCInitialPosition
std::vector< double >	fMCMCEfficiencies
double	fMCMCEfficiencyMin
double	fMCMCEfficiencyMax
int	fMCMCFlagInitialPosition
bool	fMCMCFlagOrderParameters
int	fMCMCPhase
std::vector< double >	fMCMCx
std::vector< double >	fMCMCxMax
std::vector< double >	fMCMCxMean
std::vector< double >	fMCMCxVar
std::vector< double >	fMCMCprob
std::vector< double >	fMCMCprobMax
std::vector< double >	fMCMCprobMean
std::vector< double >	fMCMCprobVar
bool	fMCMCRValueUseStrict
double	fMCMCRValueCriterion
double	fMCMCRValueParametersCriterion
double	fMCMCRValue
std::vector< double >	fMCMCRValueParameters
TRandom3 *	fRandom
std::vector< TH1D * >	fMCMCH1Marginalized
std::vector< TH2D * >	fMCMCH2Marginalized
std::vector< TTree * >	fMCMCTrees
std::vector< double >	fMCMCBestFitParameters
double	fMCMCLogMaximum
std::vector< double >	fMarginalModes

Detailed Description

An engine class for Markov Chain Monte Carlo.

Author

Daniel Kollar

Kevin Kröninger

Version

1.0

Date

08.2008 This class represents an engine class for Markov Chain Monte Carlo (MCMC). One or more chains can be defined simultaneously.

Definition at line 41 of file BCEngineMCMC.h.

Member Enumeration Documentation

enum BCEngineMCMC::Precision

An enumerator for the status of a test.

Definition at line 50 of file BCEngineMCMC.h.

Constructor & Destructor Documentation

BCEngineMCMC::BCEngineMCMC

(

)

Default constructor.

Definition at line 28 of file BCEngineMCMC.cxx.

BCEngineMCMC::BCEngineMCMC

(

const BCEngineMCMC &

enginemcmc

)

Default copy constructor.

Definition at line 174 of file BCEngineMCMC.cxx.

BCEngineMCMC::~BCEngineMCMC ( )

virtual

Default destructor.

Definition at line 157 of file BCEngineMCMC.cxx.

Member Function Documentation

int BCEngineMCMC::AddParameter ( const char *  name, double  min, double  max, const char *  latexname = ""  )

virtual

Adds a parameter.

Parameters

min	minimum value of the parameter
max	maximum value of the parameter
latexname	Optional latexname used for plotting

Returns

number of parameters after adding

Definition at line 1491 of file BCEngineMCMC.cxx.

int BCEngineMCMC::AddParameter ( BCParameter *  parameter )

virtual

Adds a parameter to the model.

Parameters

parameter

A model parameter

See Also

AddParameter(const char * name, double lowerlimit, double upperlimit);

Definition at line 1501 of file BCEngineMCMC.cxx.

void BCEngineMCMC::ClearParameters ( bool  hard = false )

inline

Empty the sequence of parameters.

Parameters

hard	Delete the parameters.

Warning

Could lead to problems if multiple modes use identical parameters.

Definition at line 637 of file BCEngineMCMC.h.

void BCEngineMCMC::Copy

(

const BCEngineMCMC &

enginemcmc

)

Copy object

Parameters

enginemcmc

Object to copy from

Definition at line 180 of file BCEngineMCMC.cxx.

const std::vector< double > & BCEngineMCMC::GetBestFitParametersMarginalized

(

)

const

Returns the set of values of the parameters at the modes of the marginalized posterior pdfs.

Returns

best fit parameters

Definition at line 353 of file BCEngineMCMC.cxx.

unsigned int BCEngineMCMC::GetNFixedParameters

(

)

Returns

The number of fixed parameters.

Definition at line 271 of file BCEngineMCMC.cxx.

unsigned int BCEngineMCMC::GetNFreeParameters

(

)

Returns

The number of free parameters.

Definition at line 265 of file BCEngineMCMC.cxx.

unsigned int BCEngineMCMC::GetNParameters ( ) const

inline

Returns

The number of parameters of the model.

Definition at line 302 of file BCEngineMCMC.h.

BCParameter* BCEngineMCMC::GetParameter ( int  index ) const

inline

Parameters

index

The index of the parameter in the parameter set.

Returns

The parameter.

Definition at line 291 of file BCEngineMCMC.h.

BCParameter* BCEngineMCMC::GetParameter ( const char *  name ) const

inline

Parameters

name	The name of the parameter in the parameter set.

Returns

The parameter.

Definition at line 297 of file BCEngineMCMC.h.

const BCParameterSet& BCEngineMCMC::GetParameters ( ) const

inline

Returns

Parameter set.

Definition at line 285 of file BCEngineMCMC.h.

double BCEngineMCMC::LogEval ( const std::vector< double > &  parameters )

virtual

Needs to be overloaded in the derived class.

Returns

natural logarithm of the function to map with MCMC

Definition at line 881 of file BCEngineMCMC.cxx.

virtual void BCEngineMCMC::MCMCCurrentPointInterface ( std::vector< double > &  , int  , bool    )

inlinevirtual

Interface allowing to execute arbitrary code for each new point of the MCMC. This method needs to be overloaded in the derived class

Parameters

point	point that was generated and checked
ichain	index of the chain
accepted	flag whether or not the point was accepted for the chain

Definition at line 662 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetCurrentChain ( ) const

inline

Returns

current chain index

Definition at line 102 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetCurrentIteration ( ) const

inline

Returns

current iterations

Definition at line 97 of file BCEngineMCMC.h.

bool BCEngineMCMC::MCMCGetFlagConvergenceGlobal ( ) const

inline

Returns

flag if converged or not

Definition at line 113 of file BCEngineMCMC.h.

int BCEngineMCMC::MCMCGetFlagInitialPosition ( ) const

inline

Returns

flag which defined initial position

Definition at line 227 of file BCEngineMCMC.h.

bool BCEngineMCMC::MCMCGetFlagRun ( ) const

inline

Returns

the flag if MCMC has been performed or not

Definition at line 257 of file BCEngineMCMC.h.

BCH1D * BCEngineMCMC::MCMCGetH1Marginalized

(

unsigned

i

)

Retrieve a histogram of the 1D marginalized distribution of a single parameter.

Parameters

i	index of the parameter

Returns

pointer to the histogram

Definition at line 290 of file BCEngineMCMC.cxx.

BCH2D * BCEngineMCMC::MCMCGetH2Marginalized	(	unsigned	i,
		unsigned	j
	)

Retrieve a histogram of the 2D marginalized distribution for two parameters.

Parameters

i	index of the first parameter
j	index of the second parameter

Returns

pointer to the histogram

Definition at line 315 of file BCEngineMCMC.cxx.

const std::vector<double>& BCEngineMCMC::MCMCGetLogProbx ( ) const

inline

Returns

log of the probability of the current points of each Markov chain

Definition at line 197 of file BCEngineMCMC.h.

double BCEngineMCMC::MCMCGetLogProbx

(

unsigned

ichain

)

Returns

log of the probability of the current points of the Markov chain.

Parameters

ichain

chain index

Definition at line 569 of file BCEngineMCMC.cxx.

TTree* BCEngineMCMC::MCMCGetMarkovChainTree ( unsigned  i )

inline

Retrieve the tree containing the Markov chain.

Parameters

i	index of the Markov chain

Returns

pointer to the tree

Definition at line 264 of file BCEngineMCMC.h.

const std::vector<double>& BCEngineMCMC::MCMCGetMaximumLogProb ( ) const

inline

Returns

maximum (log) probability of each Markov chain

Definition at line 222 of file BCEngineMCMC.h.

std::vector< double > BCEngineMCMC::MCMCGetMaximumPoint

(

unsigned

i

)

const

Returns

maximum point of Markov chain

Parameters

i	The index of the Markov chain

Definition at line 362 of file BCEngineMCMC.cxx.

const std::vector<double>& BCEngineMCMC::MCMCGetMaximumPoints ( ) const

inline

Returns

maximum points of each Markov chain

Definition at line 212 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetNChains ( ) const

inline

Returns

number of Markov chains

Definition at line 82 of file BCEngineMCMC.h.

bool BCEngineMCMC::MCMCGetNewPointMetropolis

(

unsigned

chain = 0

)

Generates a new point using the Metropolis algorithm.

Parameters

chain

chain index

Definition at line 692 of file BCEngineMCMC.cxx.

const std::vector<unsigned>& BCEngineMCMC::MCMCGetNIterations ( ) const

inline

Returns

number of iterations

Definition at line 92 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetNIterationsConvergenceGlobal ( ) const

inline

Returns

number of iterations needed for all chains to converge simultaneously

Definition at line 108 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetNIterationsMax ( ) const

inline

Returns

maximum number of iterations for a Markov chain

Definition at line 118 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetNIterationsPreRunMin ( ) const

inline

Returns

minimum number of pre-run iterations for a Markov chain

Definition at line 128 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetNIterationsRun ( ) const

inline

Returns

number of iterations for a Markov chain

Definition at line 123 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetNIterationsUpdate ( ) const

inline

Returns

number of iterations after statistics update.

Definition at line 133 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetNIterationsUpdateMax ( ) const

inline

Returns

maximum number of iterations after statistics update.

Definition at line 138 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::MCMCGetNLag ( ) const

inline

Returns

lag of the Markov chains

Definition at line 87 of file BCEngineMCMC.h.

int BCEngineMCMC::MCMCGetNTrials ( ) const

inline

Returns

number of trials

Definition at line 148 of file BCEngineMCMC.h.

std::vector<int> BCEngineMCMC::MCMCGetNTrialsTrue ( ) const

inline

Returns

number of accepted trials for each chain

Definition at line 143 of file BCEngineMCMC.h.

int BCEngineMCMC::MCMCGetPhase ( ) const

inline

Returns

pointer to the phase of a run.

Definition at line 207 of file BCEngineMCMC.h.

const std::vector<double>& BCEngineMCMC::MCMCGetprobMean ( ) const

inline

Returns

mean value of the probability for each chain up to the current iteration

Definition at line 154 of file BCEngineMCMC.h.

bool BCEngineMCMC::MCMCGetProposalPointMetropolis	(	unsigned	chain,
		std::vector< double > &	x
	)

Returns a trial point for the Metropolis algorithm.

Parameters

chain	chain index
x	proposal point

Returns

flag indicating whether the new point lies within the allowed range

Definition at line 580 of file BCEngineMCMC.cxx.

bool BCEngineMCMC::MCMCGetProposalPointMetropolis	(	unsigned	chain,
		unsigned	parameter,
		std::vector< double > &	x
	)

Returns a trial point for the Metropolis algorithm.

Parameters

chain	chain index
x	proposal point

Returns

flag indicating whether the new point lies within the allowed range

Definition at line 603 of file BCEngineMCMC.cxx.

double BCEngineMCMC::MCMCGetRValue ( ) const

inline

Returns

R-value

Definition at line 242 of file BCEngineMCMC.h.

double BCEngineMCMC::MCMCGetRValueCriterion ( ) const

inline

Returns

R-value criterion

Definition at line 232 of file BCEngineMCMC.h.

double BCEngineMCMC::MCMCGetRValueParameters ( unsigned  i )

inline

Returns

R-value for a parameter

Parameters

i	parameter index

Definition at line 248 of file BCEngineMCMC.h.

double BCEngineMCMC::MCMCGetRValueParametersCriterion ( ) const

inline

Returns

R-value criterion for parameters

Definition at line 237 of file BCEngineMCMC.h.

bool BCEngineMCMC::MCMCGetRValueStrict ( ) const

inline

Use strict or relaxed rule for Gelman/Rubin R-value

Definition at line 252 of file BCEngineMCMC.h.

const std::vector<double>& BCEngineMCMC::MCMCGetTrialFunctionScaleFactor ( ) const

inline

Returns

scale factor for all parameters and chains

Definition at line 165 of file BCEngineMCMC.h.

std::vector< double > BCEngineMCMC::MCMCGetTrialFunctionScaleFactor

(

unsigned

ichain

)

const

Returns

scale factor for all parameters and achain.

Parameters

ichain

chain index

Definition at line 505 of file BCEngineMCMC.cxx.

double BCEngineMCMC::MCMCGetTrialFunctionScaleFactor	(	unsigned	ichain,
		unsigned	ipar
	)

Returns

scale factor for a parameter and a chain.

Parameters

ichain	chain index
ipar	parameter index

Definition at line 522 of file BCEngineMCMC.cxx.

const std::vector<double>& BCEngineMCMC::MCMCGetVariance ( ) const

inline

Returns

mean value of the probability for each chain up to the current iteration

Definition at line 160 of file BCEngineMCMC.h.

const std::vector<double>& BCEngineMCMC::MCMCGetx ( ) const

inline

Returns

current point of each Markov chain

Definition at line 181 of file BCEngineMCMC.h.

std::vector< double > BCEngineMCMC::MCMCGetx

(

unsigned

ichain

)

Parameters

ichain

index of the Markov chain

Returns

current point of the Markov chain

Definition at line 537 of file BCEngineMCMC.cxx.

double BCEngineMCMC::MCMCGetx	(	unsigned	ichain,
		unsigned	ipar
	)		const

Parameters

ichain	chain index
ipar	parameter index

Returns

parameter of the Markov chain

Definition at line 554 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCInChainCheckMaximum

(

)

Updates statistics: find new maximum

Definition at line 756 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCInChainFillHistograms

(

)

Updates statistics: fill marginalized distributions

Definition at line 805 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCInChainTestConvergenceAllChains

(

)

Updates statistics: check convergence

Definition at line 829 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCInChainUpdateStatistics

(

)

Updates statistics:

Definition at line 775 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCInChainWriteChains

(

)

Updates statistics: write chains to file

Definition at line 873 of file BCEngineMCMC.cxx.

int BCEngineMCMC::MCMCInitialize

(

)

Initializes the engine.

Returns

An error code

Definition at line 1565 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCInitializeMarkovChains

(

)

Initializes Markov chains.

Definition at line 1507 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCInitializeMarkovChainTrees

(

)

Initialize trees containing the Markov chains.

Definition at line 462 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCIterationInterface ( )

virtual

Interface allowing to execute arbitrary code for each iteration of the MCMC. The frequency of calling this method is influenced by the setup of the Lag and whether or not the MCMC is run with ordered parameters. This method needs to be overloaded in the derived class.

Definition at line 1706 of file BCEngineMCMC.cxx.

int BCEngineMCMC::MCMCMetropolis

(

)

Runs Metropolis algorithm.

Definition at line 1295 of file BCEngineMCMC.cxx.

int BCEngineMCMC::MCMCMetropolisPreRun

(

)

Runs a pre run for the Metropolis algorithm.

Definition at line 889 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCResetRunStatistics

(

)

Resets the run statistics.

Definition at line 1462 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetFlagFillHistograms

(

bool

flag

)

Sets the flag for all parameters to either fill histograms or not.

Definition at line 418 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetFlagInitialPosition ( int  flag )

inline

Sets flag which defines initial position.

Definition at line 404 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetFlagOrderParameters ( bool  flag )

inline

Sets the flag which controls the sequence parameters during the running of the MCMC.

Definition at line 410 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetFlagPreRun ( bool  flag )

inline

Sets the flag if a prerun should be performed or not.

Definition at line 417 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetInitialPositions

(

const std::vector< double > &

x0s

)

Sets the initial positions for all chains.

Parameters

x0s	initial positions for all chains.

Definition at line 388 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetInitialPositions

(

std::vector< std::vector< double > >

x0s

)

Sets the initial positions for all chains.

Parameters

x0s	initial positions for all chains.

Definition at line 404 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetMarkovChainTrees

(

const std::vector< TTree * > &

trees

)

Sets the tree containing the Markov chains.

Definition at line 425 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetMaximumEfficiency ( double  efficiency )

inline

Sets the maximum efficiency required for a chain.

Definition at line 375 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetMinimumEfficiency ( double  efficiency )

inline

Sets the minimum efficiency required for a chain.

Definition at line 370 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetNChains

(

unsigned

n

)

Sets the number of Markov chains which are run in parallel.

Definition at line 379 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetNIterationsMax ( unsigned  n )

inline

Sets the maximum number of iterations in the pre-run.

Definition at line 340 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetNIterationsPreRunMin ( unsigned  n )

inline

Sets the minimum number of iterations in the pre-run

Definition at line 350 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetNIterationsRun ( unsigned  n )

inline

Sets the number of iterations.

Definition at line 345 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetNIterationsUpdate ( unsigned  n )

inline

Sets the number of iterations in the pre-run after which an update on the statistics (convergence, efficiency, etc.) is done.

Parameters

n	The number of iterations.

Definition at line 357 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetNIterationsUpdateMax ( unsigned  n )

inline

Sets the maximum number of iterations in the pre-run after which an update on the statistics (convergence, efficiency, etc.) is done. If set to 0 no maximum is set.

Parameters

n	maximum number of iterations.

Definition at line 365 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetNLag ( unsigned  n )

inline

Sets the lag of the Markov chains

Definition at line 335 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetPrecision

(

BCEngineMCMC::Precision

precision

)

Set the precision for the MCMC run.

Definition at line 99 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetRandomSeed

(

unsigned

seed

)

Set the random number seed

Definition at line 435 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetRValueCriterion ( double  r )

inline

Sets the R-value criterion for convergence of all chains.

Definition at line 422 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetRValueParametersCriterion ( double  r )

inline

Sets the parameter R-value criterion for convergence of all chains

Definition at line 427 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetRValueStrict ( bool  strict = true )

inline

Use strict or relaxed rule for Gelman/Rubin R-value

Definition at line 431 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetTrialFunctionScaleFactor ( std::vector< double >  scale )

inline

Set the scale factors for the trial functions

Parameters

scale

a vector of doubles containing the scale factors

Definition at line 326 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetValuesDefault

(

)

Set the default values for the MCMC chain.

Definition at line 39 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetValuesDetail

(

)

Set the values for a detailed MCMC run.

Definition at line 78 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetValuesQuick

(

)

Set the values for a quick MCMC run.

Definition at line 57 of file BCEngineMCMC.cxx.

void BCEngineMCMC::MCMCSetWriteChainToFile ( bool  flag )

inline

Sets flag to write Markov chains to file.

Definition at line 384 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCSetWritePreRunToFile ( bool  flag )

inline

Sets flag to write pre run to file.

Definition at line 389 of file BCEngineMCMC.h.

void BCEngineMCMC::MCMCTrialFunction ( unsigned  ichain, std::vector< double > &  x  )

virtual

Random walk trial function. The default trial function is a Breit-Wigner. It can be overloaded by the user to set the trial function.

Parameters

ichain	the chain index
x	point with the dimension fMCMCNParameters

Definition at line 484 of file BCEngineMCMC.cxx.

double BCEngineMCMC::MCMCTrialFunctionSingle ( unsigned  ichain, unsigned  ipar  )

virtual

Random walk trial function. The default trial function is a Breit-Wigner. It can be overloaded by the user to set the trial function.

Parameters

ichain	the chain index
ipar	the parameter index

Returns

the unscaled proposal point

Definition at line 492 of file BCEngineMCMC.cxx.

virtual void BCEngineMCMC::MCMCUserIterationInterface ( )

inlinevirtual

Method executed for every iteration of the MCMC. User's code should be provided via overloading in the derived class

Definition at line 651 of file BCEngineMCMC.h.

BCEngineMCMC & BCEngineMCMC::operator=

(

const BCEngineMCMC &

engineMCMC

)

Defaut assignment operator

Definition at line 258 of file BCEngineMCMC.cxx.

void BCEngineMCMC::ResetResults ( )

virtual

Reset the MCMC variables.

Definition at line 1524 of file BCEngineMCMC.cxx.

int BCEngineMCMC::SetMarginalized	(	unsigned	index,
		TH1D *	h
	)

Sets the histogram with 1D marginalized distributions for parameter.

Parameters

i	index of the parameter
h	pointer to an existing histogram

Definition at line 1713 of file BCEngineMCMC.cxx.

int BCEngineMCMC::SetMarginalized	(	unsigned	index1,
		unsigned	index2,
		TH2D *	h
	)

Sets the histogram with 2D marginalized distributions for two parameters.

Parameters

index1	index of the first parameter
index2	index of the second parameter
h	pointer to an existing histogram

Definition at line 1730 of file BCEngineMCMC.cxx.

void BCEngineMCMC::SetNbins

(

unsigned int

nbins

)

Set the number of bins for the marginalized distribution of all parameters

Parameters

nbins

Number of bins

Definition at line 283 of file BCEngineMCMC.cxx.

void BCEngineMCMC::WriteMarkovChain ( bool  flag )

inline

Flag for writing Markov chain to ROOT file (true) or not (false)

Definition at line 492 of file BCEngineMCMC.h.

Member Data Documentation

std::vector<double> BCEngineMCMC::fMarginalModes

protected

A vector of best fit parameters estimated from the marginalized probability

Definition at line 933 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCBestFitParameters

protected

A vector of best fit parameters found by MCMC

Definition at line 925 of file BCEngineMCMC.h.

int BCEngineMCMC::fMCMCCurrentChain

protected

The current chain index. If not called within the running of the algorithm, return -1.

Definition at line 742 of file BCEngineMCMC.h.

int BCEngineMCMC::fMCMCCurrentIteration

protected

The current iteration number. If not called within the running of the algorithm, return -1.

Definition at line 737 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCEfficiencies

protected

The efficiencies for all parameters and chains.

Definition at line 816 of file BCEngineMCMC.h.

double BCEngineMCMC::fMCMCEfficiencyMax

protected

The maximum allowed efficiency for MCMC

Definition at line 824 of file BCEngineMCMC.h.

double BCEngineMCMC::fMCMCEfficiencyMin

protected

The minimum required efficiency for MCMC

Definition at line 820 of file BCEngineMCMC.h.

bool BCEngineMCMC::fMCMCFlagConvergenceGlobal

protected

Flag for convergence

Definition at line 759 of file BCEngineMCMC.h.

int BCEngineMCMC::fMCMCFlagInitialPosition

protected

Variable which defines the initial position. 0 (default) center of the allowed region, (1) random initial position (2) pre-defined intial position.

Definition at line 830 of file BCEngineMCMC.h.

bool BCEngineMCMC::fMCMCFlagOrderParameters

protected

Flag which controls the sequence parameters during the running of the MCMC.

Definition at line 835 of file BCEngineMCMC.h.

bool BCEngineMCMC::fMCMCFlagPreRun

protected

Defines if a prerun should be performed or not

Definition at line 801 of file BCEngineMCMC.h.

bool BCEngineMCMC::fMCMCFlagRun

protected

Defines if MCMC has been performed or not

Definition at line 805 of file BCEngineMCMC.h.

bool BCEngineMCMC::fMCMCFlagWriteChainToFile

protected

Flag to write Markov chains to file

Definition at line 784 of file BCEngineMCMC.h.

bool BCEngineMCMC::fMCMCFlagWritePreRunToFile

protected

Flag to write pre run to file

Definition at line 788 of file BCEngineMCMC.h.

std::vector<TH1D *> BCEngineMCMC::fMCMCH1Marginalized

protected

An array of marginalized distributions

Definition at line 915 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCInitialPosition

protected

The intial position of each Markov chain. The length of the vectors is equal to fMCMCNChains * fMCMCNParameters. First, the values of the first Markov chain are saved, then those of the second and so on

Definition at line 812 of file BCEngineMCMC.h.

double BCEngineMCMC::fMCMCLogMaximum

protected

The function value at the mode on the log scale

Definition at line 929 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::fMCMCNChains

protected

Number of Markov chains ran in parallel

Definition at line 723 of file BCEngineMCMC.h.

std::vector<unsigned> BCEngineMCMC::fMCMCNIterations

protected

Number of total iterations of the Markov chains. The length of the vector is equal to fMCMCNChains.

Definition at line 732 of file BCEngineMCMC.h.

int BCEngineMCMC::fMCMCNIterationsConvergenceGlobal

protected

Number of iterations needed for all chains to convergence simultaneously

Definition at line 755 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::fMCMCNIterationsMax

protected

Maximum number of iterations for a Markov chain prerun

Definition at line 763 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::fMCMCNIterationsPreRunMin

protected

Minimum number of iterations for the pre-run

Definition at line 771 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::fMCMCNIterationsRun

protected

Number of iterations for a Markov chain run

Definition at line 767 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::fMCMCNIterationsUpdate

protected

Number of iterations for updating scale factors

Definition at line 746 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::fMCMCNIterationsUpdateMax

protected

Maximum number of iterations for updating scale factors

Definition at line 750 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::fMCMCNLag

protected

The lag for the Markov Chain

Definition at line 727 of file BCEngineMCMC.h.

unsigned BCEngineMCMC::fMCMCNTrials

protected

Number of trials

Definition at line 780 of file BCEngineMCMC.h.

std::vector<int> BCEngineMCMC::fMCMCNTrialsTrue

protected

Number of accepted trials for each chain. The length of the vector is equal to fMCMCNChains * fMCMCNParameters.

Definition at line 776 of file BCEngineMCMC.h.

int BCEngineMCMC::fMCMCPhase

protected

The phase of the run. 1: pre-run, 2: main run.

Definition at line 841 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCprob

protected

The log of the probability of the current points of each Markov chain. The length of the vectors is fMCMCNChains.

Definition at line 869 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCprobMax

protected

The maximum (log) probability of each Markov chain. The length of the vector is fMCMCNChains.

Definition at line 874 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCprobMean

protected

The mean of all log prob values of each Markov chain. The length of the vector is equal to fMCMCNChains.

Definition at line 879 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCprobVar

protected

The variance of all log prob values of each Markov chain. The length of the vector is equal to fMCMCNChains.

Definition at line 884 of file BCEngineMCMC.h.

double BCEngineMCMC::fMCMCRValue

protected

The R-value at which the chains did converge

Definition at line 904 of file BCEngineMCMC.h.

double BCEngineMCMC::fMCMCRValueCriterion

protected

The R-value criterion for convergence of log-likelihood

Definition at line 896 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCRValueParameters

protected

The R-values for each parameter

Definition at line 907 of file BCEngineMCMC.h.

double BCEngineMCMC::fMCMCRValueParametersCriterion

protected

The R-value criterion for convergence of parameters

Definition at line 900 of file BCEngineMCMC.h.

bool BCEngineMCMC::fMCMCRValueUseStrict

protected

flag: use exactly the R-value definition of Gelman/Rubin (R_strict) or a relaxed, simplified version (R_relax) [default]. Note that R_relax <= R_strict, and in some cases even R_relax < 1, but we always have R_strict >= 1.

Definition at line 892 of file BCEngineMCMC.h.

std::vector<TTree *> BCEngineMCMC::fMCMCTrees

protected

The trees containing the Markov chains. The length of the vector is fMCMCNChains.

Definition at line 921 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCTrialFunctionScaleFactor

protected

Scales the width of the trial functions by a scale factor for each parameter and chain

Definition at line 793 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCTrialFunctionScaleFactorStart

protected

Start values of the scale factors for the trial functions.

Definition at line 797 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCx

protected

The current points of each Markov chain. The length of the vectors is equal to fMCMCNChains * fMCMCNParameters. First, the values of the first Markov chain are saved, then those of the second and so on.

Definition at line 848 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCxMax

protected

The maximum points of each Markov chain. The length of the vector is fMCMCNChains * fMCMCNParameters. First, the values of the first Markov chain are saved, then those of the second and so on.

Definition at line 854 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCxMean

protected

The mean of all parameters of each Markov chain. The length of the vector is equal to fMCMCNChains * fMCMCNParameters.

Definition at line 859 of file BCEngineMCMC.h.

std::vector<double> BCEngineMCMC::fMCMCxVar

protected

The variance of all parameters of each Markov chain. The length of the vector is equal to fMCMCNChains * fMCMCNParameters.

Definition at line 864 of file BCEngineMCMC.h.

BCParameterSet BCEngineMCMC::fParameters

protected

Parameter settings

Definition at line 719 of file BCEngineMCMC.h.

TRandom3* BCEngineMCMC::fRandom

protected

Random number generator

Definition at line 911 of file BCEngineMCMC.h.

---

The documentation for this class was generated from the following files:

• /home/beaujean/workspace/bat/BAT/BCEngineMCMC.h
• /home/beaujean/workspace/bat/src/BCEngineMCMC.cxx